Leading Indicators of Crisis Incidence: Evidence from Developed Countries

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11640/13:00391844

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Leading Indicators of Crisis Incidence: Evidence from Developed Countries

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Leading Indicators of Crisis Incidence: Evidence from Developed Countries

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GAP402%2F11%2F1487" target="_blank" >GAP402/11/1487: Měnová politika, finanční stabilita a finanční krize</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název periodika

Journal of International Money and Finance

ISSN

0261-5606

e-ISSN

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Svazek periodika

35

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

19

Strana od-do

1-19

Kód UT WoS článku

000319640800001

EID výsledku v databázi Scopus

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