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Assessment of Composite Leading Indicators Usefulness in Forecasting Loans and Deposits Cyclical Fluctuations

Garczarczyk, Józef; Skikiewicz, Robert - In: Prace i Materiały 86 (2011) 2, pp. 135-160

The article has been focused on the application of the business cycle barometers for predicting the cyclical fluctuations of the two main categories in the banking market in Poland - PLN loans and PLN deposits. The barometers built for the first time for the Polish banking sector are based on...

Persistent link: https://www.econbiz.de/10010898055

Default, Credit Growth, and Asset Prices

Goodhart, C. A. E.; Basurto, Miguel A. Segoviano; … - International Monetary Fund (IMF) - 2006

This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the fragility of their banking systems. Based on theory and stylized facts, the paper...

Persistent link: https://www.econbiz.de/10005264113

Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies

Nkusu, Mwanza - International Monetary Fund (IMF) - 2011

We analyze the link between nonperforming loans (NPL) and macroeconomic performance using two complementary approaches. First, we investigate the macroeconomic determinants of NPL in panel regressions and confirm that adverse macroeconomic developments are associated with rising NPL. Second, we...

Persistent link: https://www.econbiz.de/10009203534

International Transmission of Bank and Corporate Distress

Papa M'B. P. N'Diaye; Gray, Dale F.; Tamirisa, Natalia T.; … - International Monetary Fund (IMF) - 2010

The paper evaluates how increases in banksâ€™ and nonfinancial corporatesâ€™ default risk are transmitted in the global economy, using in a vector autoregression model for 30 advanced and emerging economies for the period from January 1996 to December 2008. The results point to two-way...

Persistent link: https://www.econbiz.de/10008542980

Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US

Cardani, Roberta; Paccagnini, Alessia; Villa, Stefania - Dipartimento di Economia, Metodi Quantitativi e … - 2015

This paper examines the forecasting performance of DSGE models with and without banking intermediation for the US … forecasting horizon/period. To interpret this finding it is crucial to take into account parameters instabilities showed by a … forecasting performance of output and inflation in the recent period. …

Persistent link: https://www.econbiz.de/10011165203

New Composite Leading Indicators for Hungary and Poland

Bandholz, Harm - 2005

This paper presents new composite leading indicators for the two largest of the EU accession countries, Poland and Hungary. Using linear and non-linear dynamic factor models we find for both countries that a parsimonious specification, which combines national business cycle indicators,series...

Persistent link: https://www.econbiz.de/10010312185