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Financial imbalances and medium-term growth-at-risk in Norway
Arbatli-Saxegaard, Elif C.; Gerdrup, Karsten R.; … - 2020
other advanced economies. We use a broad set of financial indicators to capture cyclical systemic risk in the financial … that an increase in financial indicators is associated with both a more adverse prediction for growth-at-risk (5th … policy-relevant applications. First, we summarise how financial indicators and growth-at-risk have evolved over time in …
Persistent link: https://www.econbiz.de/10012240732
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Cyclical systemic risk and downside risks to bank profitability
Lang, Jan Hannes; Forletta, Marco - 2020
This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel … risk predict large drops in the average bank-level return on assets (ROA) with a lead time of 3-5 years. Based on quantile … local projections we further show that the negative impact of cyclical systemic risk on the left tail of the future bank …
Persistent link: https://www.econbiz.de/10012216407
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Quantifying macroeconomic uncertainty in Norway
Bowe, Frida; Kirkeby, Sara Jahr; Lindalen, Ingvild Hagen; … - 2023
This paper presents a framework for quantifying uncertainty around point forecasts for GDP, inflation and house prices in Norway. The framework combines quantile regressions using a broad set of uncertainty indicators with a skewed t-distribution, allowing for time-variation and asymmetry in the...
Persistent link: https://www.econbiz.de/10014313751
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Vulnerable growth in the euro area : measuring the financial conditions
Figueres, Juan Manuel; Jarociński, Marek - 2020
This paper examines which measures of financial conditions are informative about the tail risks to output growth in the euro area. The Composite Indicator of Systemic Stress (CISS) is more informative than indicators focusing on narrower segments of financial markets or their simple aggregation...
Persistent link: https://www.econbiz.de/10012262990
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Interactions between financial markets and macroeconomic variables in EU : a nonlinear modeling approach
Albu, Lucian-Liviu; Lupu, Radu; Călin, Adrian Cantemir - 2015
There is a general acceptance of the fact that a significant direct relationship between financial markets and macroeconomic variables exists, especially by considering the assertion that developed financial markets correspond to high GDP levels. This paper provides an investigation of the...
Persistent link: https://www.econbiz.de/10011480254
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Financial variables as predictors of real growth vulnerability
Reichlin, Lucrezia; Ricco, Giovanni; Hasenzagl, Thomas - 2020 - This version: 30th October 2019
We evaluate the role of financial conditions as predictors of macroeconomic risk first in the quantile regression …
Persistent link: https://www.econbiz.de/10012173525
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Measurement error in education and growth regressions
Portela, Miguel; Alessie, Rob; Teulings, Coen N. - 2005
The perpetual inventory method used for the construction of education data per country leads to systematic measurement error. This paper analyses the effect of this measurement error on GDP regressions. There is a systematic difference in the education level between census data and observations...
Persistent link: https://www.econbiz.de/10011335189
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Measurement Error in Education and Growth Regressions
Portela, Miguel - 2008
The perpetual inventory method used for the construction of education data per country leads to systematic measurement error. This paper analyses the effect of this measurement error on GDP regressions. There is a systematic difference in the education level between census data and observations...
Persistent link: https://www.econbiz.de/10012774497
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Evaluating Specification Search in Cross-Country Growth Regressions : Extreme Bounds vs. General-to-Specific Methodologies
Hoover, Kevin D.; Perez, Stephen J. - 2008
This paper is a substantially revised version of our earlier working paper, "Truth and Robustness in Cross-country Growth Regressions." The most important revisions concern the handling of missing observations in the cross-country data set. In the earlier paper, these had been handled through...
Persistent link: https://www.econbiz.de/10014124932
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A Rise By Any Other Name? Sensitivity of Growth Regressions to Data Source
Hanousek, Jan - 2008
Measured rates of growth in real per capita income differ drastically depending on the data source. This phenomenon occurs largely because data sets differ in whether and how they adjust for changes in relative prices across countries. Replication of several recent studies of growth determinants...
Persistent link: https://www.econbiz.de/10012773476