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| 01999cam 2200301za 4500 |
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001 | 9.842854 |
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003 | CaOODSP |
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005 | 20221107152418 |
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007 | cr ||||||||||| |
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008 | 170831s2017 oncd ob f000 0 eng d |
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040 | |aCaOODSP|beng |
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041 | |aeng|bfre |
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043 | |an-cn--- |
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086 | 1 |aFB3-5/2017-32E-PDF |
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100 | 1 |aDuprey, Thibaut. |
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245 | 10|aHow to predict financial stress? |h[electronic resource] : |bAn assessment of Markov switching models / |cby Thibaut Duprey and Benjamin Klaus. |
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260 | |a[Ottawa] : |bBank of Canada, |c2017. |
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300 | |aii, 46 p. |
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490 | 1 |aBank of Canada staff working paper, |x1701-9397 ; |v2017-32 |
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500 | |a"July 2017." |
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504 | |aIncludes bibliographical references. |
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520 | |a"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. |
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546 | |aIncludes abstract in French. |
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692 | 07|2gccst|aEconomic analysis |
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700 | 1 |aKlaus, Benjamin. |
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710 | 2 |aBank of Canada. |
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830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2017-32|w(CaOODSP)9.806221 |
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856 | 40|qPDF|s1.73 MB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-32-eng.pdf |
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