Arbeitspapier
A macroeconomic vulnerability model for the euro area
Macroeconomic imbalances increase the vulnerability of an economy to adverse shocks, which in turn can lead to crises with severe economic and social costs. We propose an early warning model that predicts such crises. We identify a set of macroeconomic indicators capturing domestic and external imbalances that jointly predict severe recessions (i.e. growth crises) in a multivariate discrete choice framework. The approach allows us to quantify an economy's macroeconomic vulnerabilities at any point in time. In particular, the model would have pointed early on to emerging vulnerabilities in all the euro area countries that registered severe recessions in the years after 2007. We also show that the model can be applied beyond the euro area crisis in that its main results remain robust to changes in assumptions and sample composition.
- ISBN
-
978-92-899-3568-5
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2306
- Klassifikation
-
Wirtschaft
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Financial Markets and the Macroeconomy
Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation: Models and Applications
Economywide Country Studies: Europe
- Thema
-
macroeconomic imbalances
early warning models
growth crises
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Sondermann, David
Zorell, Nico
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2019
- DOI
-
doi:10.2866/967743
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Sondermann, David
- Zorell, Nico
- European Central Bank (ECB)
Entstanden
- 2019
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