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Leading Indicators of Crisis Incidence: Evidence from Developed Countries

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F13%3A10133719" target="_blank" >RIV/00216208:11230/13:10133719 - isvavai.cz</a>

  • Alternative codes found

    RIV/00216208:11640/13:00391844

  • Result on the web

    <a href="http://dx.doi.org/10.1016/j.jimonfin.2013.01.001" target="_blank" >http://dx.doi.org/10.1016/j.jimonfin.2013.01.001</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1016/j.jimonfin.2013.01.001" target="_blank" >10.1016/j.jimonfin.2013.01.001</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Leading Indicators of Crisis Incidence: Evidence from Developed Countries

  • Original language description

    We examine which indicators are most useful in explaining the cost of economic crises in EU and OECD countries between 1970 and 2010. To define the dependent variable we combine a measure of costs to the economy, which consists of the output and employment loss and the fiscal deficit, with a database of crisis occurrence designed specifically for this task. We take into account model uncertainty in two steps. First, for each potential leading indicator we select the relevant prediction horizon by usingpanel vector autoregression. Second, we identify the most useful leading indicators with Bayesian model averaging. Our results suggest that domestic housing prices, share prices, and credit growth, and some global variables, such as private credit, constitute important sources of risk.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GAP402%2F11%2F1487" target="_blank" >GAP402/11/1487: Monetary policy, financial stability and financial crisis</a><br>

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2013

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Journal of International Money and Finance

  • ISSN

    0261-5606

  • e-ISSN

  • Volume of the periodical

    35

  • Issue of the periodical within the volume

    1

  • Country of publishing house

    GB - UNITED KINGDOM

  • Number of pages

    19

  • Pages from-to

    1-19

  • UT code for WoS article

    000319640800001

  • EID of the result in the Scopus database