000	00000nam 2200000za 4500
001	9.842854
003	CaOODSP
005	20221107152418
007	cr |||||||||||
008	170831s2017    oncd    ob   f000 0 eng d
040	|aCaOODSP|beng
041	|aeng|bfre
043	|an-cn---
086	1 |aFB3-5/2017-32E-PDF
100	1 |aDuprey, Thibaut.
245	10|aHow to predict financial stress? |h[electronic resource] : |bAn assessment of Markov switching models / |cby Thibaut Duprey and Benjamin Klaus.
260	|a[Ottawa] : |bBank of Canada, |c2017.
300	|aii, 46 p.
490	1 |aBank of Canada staff working paper, |x1701-9397 ; |v2017-32
500	|a"July 2017."
504	|aIncludes bibliographical references.
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.
546	|aIncludes abstract in French.
692	07|2gccst|aEconomic analysis
700	1 |aKlaus, Benjamin.
710	2 |aBank of Canada.
830	#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2017-32|w(CaOODSP)9.806221
856	40|qPDF|s1.73 MB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-32-eng.pdf