00000nam 2200000za 4500 9.842854 CaOODSP 20221107152418 cr ||||||||||| 170831s2017 oncd ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-5/2017-32E-PDF Duprey, Thibaut. How to predict financial stress? [electronic resource] : An assessment of Markov switching models / by Thibaut Duprey and Benjamin Klaus. [Ottawa] : Bank of Canada, 2017. ii, 46 p. Bank of Canada staff working paper, 1701-9397 ; 2017-32 "July 2017." Includes bibliographical references. "This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state. Whereas the in-sample analysis suggests that these indicators can provide an early warning signal up to several quarters prior to the respective regime change, the out-of-sample findings indicate that most of this performance is owing to the data gathered during the global financial crisis. Comparing the prediction performance with a standard binary early warning model reveals that the Markov switching model is outperforming the vast majority of model specifications for a horizon up to three quarters prior to the onset of financial stress."--Abstract, p. ii. Includes abstract in French. gccst Economic analysis Klaus, Benjamin. Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2017-32 (CaOODSP)9.806221 PDF 1.73 MB https://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-32-eng.pdf