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| 01865cam 2200325za 4500 |
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001 | 9.816634 |
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003 | CaOODSP |
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005 | 20221107142307 |
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007 | cr ||||||||||| |
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008 | 160502s2016 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 |aFB3-5/2016-21E-PDF |
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100 | 1 |aLi, Fuchun. |
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245 | 10|aEarly warning of financial stress events |h[electronic resource] : |ba credit-regime-switching approach / |cby Fuchun Li and Hongyu Xiao. |
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260 | |a[Ottawa] : |bBank of Canada, |c2016. |
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300 | |aiii, 30 p. : |bfig., tables |
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490 | 1 |aStaff Working Paper, |x1701-9397 ; |v2016-21 |
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500 | |a"April 2016." |
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504 | |aIncludes bibliographical references. |
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520 | 3 |aWe 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. |
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692 | 07|2gccst|aFinancial crisis |
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692 | 07|2gccst|aForecasting |
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692 | 07|2gccst|aStatistical analysis |
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692 | 07|2gccst|aCredit |
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700 | 1 |aXiao, Hongyu. |
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710 | 2 |aBank of Canada. |
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830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2016-21|w(CaOODSP)9.806221 |
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856 | 40|qPDF|s428 KB|uhttps://publications.gc.ca/collections/collection_2016/banque-bank-canada/FB3-5-2016-21-eng.pdf |
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