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Banking crises and recessions : what can leading indicators tell us?
Corder, Matthew; Weale, Martin - 2011
is evidence for interdependency between recessions and banking crises using both non-parametric tests and unconditional …It is widely suggested that there is some relationship between banking crises and recessions. We assess whether there … predict banking crises and recessions and if these variables can explain the previously observed interdependence. Inclusion of …
Persistent link: https://www.econbiz.de/10009348639
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The great mortgaging : housing finance, crises, and business cycles
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - 2014
which are typically followed by deeper recessions and slower recoveries. Housing finance has come to play a central role in …
Persistent link: https://www.econbiz.de/10010412763
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Banking euro area stress test model
Budnik, Katarzyna; Mozzanica, Mirco Balatti; Dimitrov, Ivan - 2020
The Banking Euro Area Stress Test (BEAST) is a large scale semi-structural model developed to assess the resilience of the euro area banking system from a macroprudential perspective. The model combines the dynamics of a high number of euro area banks with that of the euro area economies. It...
Persistent link: https://www.econbiz.de/10012286943
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Macroprudential stress test of the euro area banking system
Budnik-Gałązka, Katarzyna; Mozzanica, Mirco Balatti; … - 2019
This paper presents an approach to a macroprudential stress test for the euro area banking system, comprising the 91 largest euro area credit institutions across 19 countries. The approach involves modelling banks'reactions to changing economic conditions. It also examines the effects of adverse...
Persistent link: https://www.econbiz.de/10012033284
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BEAST: a model for the assessment of system-wide risks and macroprudential policies
Budnik, Katarzyna; Groß, Johannes; Vagliano, Gianluca; … - 2023
The Banking Euro Area Stress Test (BEAST) is a large-scale semi-structural model developed to analyse the euro area banking system from a macroprudential perspective. The model combines the dynamics of approximately 90 of the largest euro area banks with those of individual euro area economies....
Persistent link: https://www.econbiz.de/10014477728
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The dynamics of non-performing loans during banking crises : a new database
Ari, Anil; Chen, Sophia; Ratnovski, Lev - 2020
This paper presents a new dataset on the dynamics of non-performing loans (NPLs) during 88 banking crises since 1990 …. The data show similarities across crises during NPL build-ups but less so during NPL resolutions. We find a close … relationship between NPL problems-elevated and unresolved NPLs-and the severity of post-crisis recessions. A machine learning …
Persistent link: https://www.econbiz.de/10012206258
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Recession probabilities falling from the STARs
Eraslan, Sercan; Nöller, Marvin - 2020
comprehensive real-time forecasting exercise for recessions in the US. Moreover, we propose a novel smooth transition modelling …
Persistent link: https://www.econbiz.de/10012179657
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ROC and PRC approaches to evaluate recession forecasts
Lahiri, Kajal; Cheng, Yang - 2023
analytically and using a real-life empirical example of yield spread as a predictor of recessions. We show that false alarm rate in … quantify the extent to which ROC could be exaggerating the true predictive value of the yield curve in predicting recessions. …
Persistent link: https://www.econbiz.de/10014284725
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Is risk the fuel of the business cycle? : financial frictions and oil market disturbances
Schult, Christoph - Leibniz-Institut für Wirtschaftsforschung Halle - 2024
I estimate a dynamic stochastic general equilibrium (DSGE) model for the United States that incorporates oil market shocks and risk shocks working through credit market frictions. The findings of this analysis indicate that risk shocks play a crucial role during the Great Recession and the...
Persistent link: https://www.econbiz.de/10014474905
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Predicting recession probabilities with financial variables over multiple horizons
Fornari, Fabio; Lemke, Wolfgang - 2010
-post classification of recessions and non-recessions 95% of the time for the one-quarter forecast horizon and 87% of the time for the four …. - Recessions ; forecasting ; probit ; VAR …
Persistent link: https://www.econbiz.de/10008688529