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Where is U.S. Sovereign Debt Heading? A Forecasting Model
Menon, Murali - 2014
We develop a debt-to-GDP forecasting framework incorporating the classical debt accounting relationship relating the debt-to-GDP ratio to its previous period value, the growth rate of the economy, the government cost of debt service, and the primary balance. We present a linearization of the...
Persistent link: https://www.econbiz.de/10013061008
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Predicting Fiscal Crises
Cerovic, Svetlana - 2018
This paper identifies leading indicators of fiscal crises based on a large sample of countries at different stages of development over 1970-2015. Our results are robust to different methodologies and sample periods. Previous literature on early warning sistems (EWS) for fiscal crises is scarce...
Persistent link: https://www.econbiz.de/10012912485
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Use of unit root methods in early warning of financial crises
Virtanen, Timo; Tölö, Eero; Virén, Matti E. E.; … - 2017
In several recent studies unit root methods have been used in detection of financial bubbles in asset prices. The basic idea is that fundamental changes in the autocorrelation structure of relevant time series imply the presence of a rational price bubble. We provide cross-country evidence for...
Persistent link: https://www.econbiz.de/10011976947
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Sovereign risk indices and Bayesian theory averaging
Lenkoski, Alex; Aanes, Fredrik L. - In: Econometrics : open access journal 8 (2020) 2/22, pp. 1-24
theories are imperfectly captured quantitatively. A number of different proxies are often collected for a given theory and the … generalizability of the theory index our framework assumes a collection of outcome equations. We accommodate a flexible set of … occurs on the outcome level, allowing for theories to be differentially valid. Our focus is on creating a set of theory …
Persistent link: https://www.econbiz.de/10012265454
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Accuracy and speed of the solution methods for sovereign default models : the stable performance of the Tauchen method and cubic spline interpolation
Yamazaki, Takefumi - In: Public policy review 14 (2018) 4, pp. 641-662
Persistent link: https://www.econbiz.de/10011904652
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Coordinated Failure? A Cross-Country Bank Failure Prediction Model
Montgomery, Heather - 2011
This paper empirically investigates the causes of bank failures in Japan and Indonesia. Using logistic regression analysis of financial ratios, we explore the usefulness of domestic bank failure prediction models with a cross-country model that allows for cross-correlation of the error terms.Our...
Persistent link: https://www.econbiz.de/10013121773
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Coordinated Failure? A Cross-Country Bank Failure Prediction Model
Montgomery, Heather - 2011
This paper empirically investigates the causes of bank failures in Japan and Indonesia. Using logistic regression analysis of financial ratios, we explore the usefulness of domestic bank failure prediction models with a cross-country model that allows for cross-correlation of the error terms.Our...
Persistent link: https://www.econbiz.de/10013121776
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Възможности За Усъвършенстване На Моделите За Предсказване На Банкови Кризи (Possibilities for Improving Predictive Models of Banking Crises)...
Bojinov, Bojidar V. - 2016
EnglishThis article aims to analyze the models for prediction of bank distress and problems focusing to those based on the signal approach. Based on this study is an attempt to construct a mechanism to improve the signal-based models to predict the banking problems.BulgarianНастоящата...
Persistent link: https://www.econbiz.de/10012989905
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Fiscal Solvency and Fiscal Forecasting in Europe
Artis, Michael J.; Marcellino, Massimiliano Giuseppe - 2014
This paper analyzes two features of concern to policy-makers in the countries of the prospective European Monetary Union: the solvency of their government's finances and the accuracy of fiscal forecasts. Extending the existing methodology of solvency tests, the paper finds that, with few...
Persistent link: https://www.econbiz.de/10014221997
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Forecasting Bank Rescue Costs and Debt Sustainability
Guerry, Nicolas - 2014
Traditional approaches use balance sheet assessment to forecast bank rescue costs and often underestimate real costs. Thus, governments commit to bailouts without credible forecasts of costs, which can lead to serious fiscal issues. We propose a new approach based on distributional information...
Persistent link: https://www.econbiz.de/10013049003