How to predict financial stress? : An assessment of Markov switching models / by Thibaut Duprey and Benjamin Klaus. : FB3-5/2017-32E-PDF

"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.

Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.842854&sl=1

• Format MARC XML
• Format MARC HTML

Demander des formats alternatifs