McCracken, Michael; Grover, Sean P. - In: Review 96 (2014) 2, pp. 173-194
This article investigates the use of factor-based methods for predicting industry-wide bank stress. Specifically, using … the variables detailed in the Federal Reserve Board of Governors’ bank stress scenarios, the authors construct a small … margins at the bank industry level. The authors find that the factors do have significant predictive content, both in and out …