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Credit growth, the yield curve and financial crisis prediction : evidence from a machine learning approach

Bluwstein, Kristina; Buckmann, Marcus; Joseph, Andreas; … - 2021

We develop early warning models for financial crisis prediction by applying machine learning techniques to macrofinancial data for 17 countries over 1870–2016. Most nonlin-ear machine learning models outperform logistic regression in out-of-sample predictions and forecasting. We identify...

Persistent link: https://www.econbiz.de/10012705396

Predicting Distress in European Banks

Betz, Frank - 2013

The paper develops an early-warning model for predicting vulnerabilities leading to distress in European banks using both bank and country-level data. As outright bank failures have been rare in Europe, the paper introduces a novel dataset that complements bankruptcies and defaults with state...

Persistent link: https://www.econbiz.de/10013074637

Recession Prediction Using Yield Curve and Stock Market Liquidity Deviation Measures

Erdogan, Oral - 2016

including the stock market macro liquidity deviation factor. We use a probit framework to predict US business cycles, as defined … by the NBER between 1959Q1 and 2011Q4. We find that combining the yield curve parameter with the stock market liquidity … monitoring not only the yield curve but also stock market depth and liquidity, and their deviation from one another …

Persistent link: https://www.econbiz.de/10013007569

Evaluation of prediction accuracy models for bankruptcy in Indonesian banks

Gunanto, Adi - In: Financial studies 27 (2023) 2, pp. 53-71

This research aims to find the most accurate model for predicting bankruptcy in the Indonesian banking industry. The data used are secondary data in the form of financial reports from 2018 to 2022. The methodology includes hypothesis testing using normality, homogeneity, and one-way ANOVA tests....

Persistent link: https://www.econbiz.de/10014506642

Macro-financial vulnerabilities and future financial stress: assessing systemic risks and predicting systemic events

Lo Duca, Marco; Peltonen, Tuomas A. - 2011

This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of “stand alone” and composite indicators in predicting systemic...

Persistent link: https://www.econbiz.de/10011605357

Early warning indicator model of financial developments using an ordered logit

Reimers, Hans-Eggert - 2012

The recent financial crisis has demonstrated in an impressive way that boom/bust cycles can have devastating effects on the real economy. This paper aims at contributing to the literature on early warning indicator exercises for asset price development. Using a sample of 17 industrialised OECD...

Persistent link: https://www.econbiz.de/10010310845

Mapping the state of financial stability

Sarlin, Peter; Peltonen, Tuomo - 2011

The paper uses the Self-Organizing Map for mapping the state of financial stability and visualizing the sources of systemic risks as well as for predicting systemic financial crises. The Self-Organizing Financial Stability Map (SOFSM) enables a two-dimensional representation of a...

Persistent link: https://www.econbiz.de/10009380405

Systemic event prediction by early warning system

Zigraiova, Diana; Jakubík, Petr - 2014

This work develops an early warning system framework for assessing systemic risks and for predicting systemic events, i.e. periods of extreme financial instability with potential real costs, over the short horizon of six quarters and the long horizon of twelve quarters on the panel of 14...

Persistent link: https://www.econbiz.de/10010234040

Economic crisis and share price unpredictability : reasons and implications

Fox, Edward G.; Fox, Merritt B.; Gilson, Ronald J. - 2014

During the recent financial crisis, there was a dramatic spike, across all industries, in the volatility of individual firm share prices after adjustment for movements in the market as a whole. In this Article, we demonstrate that a similar spike has occurred with each major downturn in the...

Persistent link: https://www.econbiz.de/10010259665

Financial conditions and density forecasts for US output and inflation

Alessandri, Piergiorgio; Mumtaz, Haroon - 2014

When do financial markets help in predicting economic activity? With incomplete markets, the link between financial and real economy is state-dependent and financial indicators may turn out to be useful particularly in forecasting "tail" macroeconomic events. We examine this conjecture by...

Persistent link: https://www.econbiz.de/10010339756

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