Leading indicators of crisis incidence: evidence from developed countries

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F12%3A00387963" target="_blank" >RIV/00216208:11640/12:00387963 - isvavai.cz</a>
Result on the web
<a href="http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1486.pdf" target="_blank" >http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1486.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Leading indicators of crisis incidence: evidence from developed countries
Original language description
We search for early warning indicators that could indicate important risks in developed economies. We therefore examine which indicators are most useful in explaining costly macroeconomic developments following the occurrence of economic crises in EU andOECD countries between 1970 and 2010. To define our dependent variable, we bring together a (continuous) measure of crisis incidence, which combines the output and employment loss and the fiscal deficit into an index of real costs, with a (discrete) database of crisis occurrence. In contrast to recent studies, we explicitly take into account model uncertainty in two steps. First, for each potential leading indicator, we select the relevant prediction horizon by using panel 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, are risk factors worth m
Czech name
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Czech description
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Project
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Continuities
S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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