Arbeitspapier
Early warning of financial stress events: A credit-regime-switching approach
We propose an early warning model for predicting the likelihood of a financial stress event for a given future time, and examine whether credit plays an important role in the model as a non-linear propagator of shocks. This propagation takes the form of a threshold regression in which a regime change occurs if credit conditions cross a critical threshold. The in-sample and out-of-sample forecasting performances are encouraging. In particular, the out-of-sample forecasting results suggest that the model based on the credit-regime-switching approach outperforms the benchmark models based on a linear regression and signal extraction approach across all forecasting horizons and all criteria considered.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Staff Working Paper ; No. 2016-21
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Semiparametric and Nonparametric Methods: General
Financial Crises
Financial Forecasting and Simulation
- Thema
-
Financial stability
Econometric and statistical methods
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Li, Fuchun
Xiao, Hongyu
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2016
- DOI
-
doi:10.34989/swp-2016-21
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Li, Fuchun
- Xiao, Hongyu
- Bank of Canada
Entstanden
- 2016
Ähnliche Objekte (12)
A semiparametric early warning model of financial stress events
Money and costly credit
The role of expenditure switching in the global imbalance adjustment
Expenditure-switching effect and the choice of exchange rate regime
News-driven international credit cycles
Credit constraints and consumer spending
Credit Market Frictions and Sudden Stops
Lending standards, productivity and credit crunches
Banks, credit market frictions, and business cycles
Credit risk transfer and bank insolvency risk
The role of credit in international business cycles
Aggregate fluctuations and the role of trade credit
A semiparametric early warning model of financial stress events
Money and costly credit
The role of expenditure switching in the global imbalance adjustment
Expenditure-switching effect and the choice of exchange rate regime
News-driven international credit cycles
Credit constraints and consumer spending
Credit Market Frictions and Sudden Stops
Lending standards, productivity and credit crunches
Banks, credit market frictions, and business cycles
Credit risk transfer and bank insolvency risk
The role of credit in international business cycles
Aggregate fluctuations and the role of trade credit
A semiparametric early warning model of financial stress events
Money and costly credit
The role of expenditure switching in the global imbalance adjustment
Expenditure-switching effect and the choice of exchange rate regime
News-driven international credit cycles
Credit constraints and consumer spending
Credit Market Frictions and Sudden Stops
Lending standards, productivity and credit crunches
Banks, credit market frictions, and business cycles
Credit risk transfer and bank insolvency risk
The role of credit in international business cycles