Search Results - subject:"Early Warning Models"

Home, safe home : cross-country monitoring framework for vulnerabilities in the residential real estate sector

Bengtsson, Elias; Grothe, Magdalena; Lepers, Etienne - 2017

This paper proposes a framework for monitoring vulnerabilities related to the residential real estate sector in a cross-country context. The framework might be useful for complementing or cross-checking signals available from existing approaches. It takes into account three dimensions of real...

Persistent link: https://www.econbiz.de/10011710115

Toward robust early-warning models: a horse race, ensembles and model uncertainty

Holopainen, Markus; Sarlin, Peter - 2016

statistical methods and more recent machine learning methods as early-warning models. As individual models are in the literature …

Persistent link: https://www.econbiz.de/10011605945

Home, safe home : cross-country monitoring framework for vulnerabilities in the residential real estate sector

Bengtsson, Elias; Grothe, Magdalena; Lepers, Etienne - In: Journal of banking & finance 112 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012225314

Does the risk on banks' balance sheets predict banking crises? : new evidence for developing countries

Haan, Jakob de; Fang, Yi; Jing, Zhongbo - In: International review of economics & finance : IREF 68 (2020), pp. 254-268

Persistent link: https://www.econbiz.de/10012486487

Optimizing Policymakers' Loss Functions in Crisis Prediction: Before, Within or After?

Sarlin, Peter; von Schweinitz, Gregor - 2015

Early-warning models most commonly optimize signaling thresholds on crisis probabilities. The ex-post threshold … transferable to the signaling approach and all probabilistic early-warning models. …

Persistent link: https://www.econbiz.de/10011282540

Toward robust early-warning models: A horse race, ensembles and model uncertainty

Holopainen, Markus; Sarlin, Peter - Suomen Pankki - 2015

This paper presents first steps toward robust early-warning models. We conduct a horse race of conventional statistical … methods and more recent machine learning methods. As early-warning models based upon one approach are oftentimes built in … methods. Further, we test various ensemble approaches to aggregating the information products of the built early-warning …

Persistent link: https://www.econbiz.de/10011210508

Optimizing policymakers' loss functions in crisis prediction: before, within or after?

Sarlin, Peter; Schweinitz, Gregor von - 2015

Persistent link: https://www.econbiz.de/10011280016

Bubbles and Crises: The Role of House Prices and Credit

Anundsen, André K.; Hansen, Frank; Gerdrup, Karsten R.; … - 2014

This paper exploits a quarterly panel data set for 16 OECD countries over the period 1975q1-2013q2 to explore the importance of house prices and credit in affecting the likelihood of a financial crisis. Estimating a set of multivariate logit models, we find that booms in credit to both...

Persistent link: https://www.econbiz.de/10012143852

Bubbles and crises: The role of house prices and credit

Anundsen, André K.; Hansen, Frank; Gerdrup, Karsten; … - Norges Bank - 2014

This paper exploits a quarterly panel data set for 16 OECD countries over the period 1975q1–2013q2 to explore the importance of house prices and credit in affecting the likelihood of a financial crisis. Estimating a set of multivariate logit models, we find that booms in credit to both...

Persistent link: https://www.econbiz.de/10011079379

Financial soundness prediction using a multi-classification model : evidence from current financial crisis in OECD banks

Fernández-Arias, D.; López Martín, Ma. del Carmen; … - In: Computational economics 52 (2018) 1, pp. 275-297

Persistent link: https://www.econbiz.de/10012052936