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Banking and currency crises: differential diagnostics for developed countries

Joy, Mark; Rusnák, Marek; Šmídková, Kateřina; … - 2015

We identify a set of “rules of thumb” that characterise economic, financial and structural conditions preceding the onset of banking and currency crises in 36 advanced economies over 1970–2010. We use the Classification and Regression Tree methodology (CART) and its Random Forest (RF)...

Persistent link: https://www.econbiz.de/10011605855

The shifts and the shocks: Bank risk, leverage, and the macroeconomy

Kuvshinov, Dmitry; Richter, Björn; Zimmermann, Kaspar - 2022

This paper studies the long-run evolution of bank risk and its links to the macroeconomy. Using data for 17 advanced economies, we show that the riskiness of bank assets declined materially between 1870 and 2016. But even though bank assets have become safer, the losses on these assets are...

Persistent link: https://www.econbiz.de/10013368002

The dynamics of non-performing loans during banking crises: A new database

Ari, Anil; Chen, Sophia; Ratnovski, Lev - 2020

This paper presents a new dataset on the dynamics of non-performing loans (NPLs) during 88 banking crises since 1990. The data show similarities across crises during NPL build-ups but less so during NPL resolutions. We find a close relationship between NPL problems-elevated and unresolved...

Persistent link: https://www.econbiz.de/10012422057

Are emerging market currency crises predictable? A test

Peltonen, Tuomas A. - 2006

This paper analyzes the predictability of emerging market currency crises by comparing the often used probit model to a new method, namely a multi-layer perceptron artificial neural network (ANN) model. According to the results, both models were able to signal currency crises reasonably well...

Persistent link: https://www.econbiz.de/10011604617

Resuscitating the wage channel in models with unemployment fluctuations

Christoffel, Kai; Kuester, Keith - 2008

paper, we present a model with equilibrium unemployment which has three distinctive properties. First, using a search and …, which allows the model to reproduce the fluctuations of unemployment over the business cycle. And third, the model implies a … reasonable elasticity of steady state unemployment with respect to changes in benefits. The calibration of the model implies low …

Persistent link: https://www.econbiz.de/10011604969

Resuscitating the Wage Channel in Models with Unemployment Fluctuations

Christoffel, Kai - 2008

Persistent link: https://www.econbiz.de/10012770794

The Cyclical Behavior of Equilibrium Unemployment and Vacancies Revisited

Hagedorn, Marcus; Manovskii, Iourii - 2021

-cycle-frequency fluctuations in unemployment and job vacancies, given shocks of a plausible magnitude. We use data on the cost of vacancy creation …

Persistent link: https://www.econbiz.de/10013316636

On-the-Job Search and the Cyclical Dynamics of the Labor Market

Krause, Michael; Lubik, Thomas A. - 2021

, this allows the model to generate fluctuations of unemployment, vacancies, and labor productivity whose magnitudes are lose …

Persistent link: https://www.econbiz.de/10013318926

Systemic risk: A survey

De Bandt, Olivier; Hartmann, Philipp - 2000

This paper develops a broad concept of systemic risk, the basic economic concept for the understanding of financial crises. It is claimed that any such concept must integrate systemic events in banking and financial markets as well as in the related payment and settlement systems. At the heart...

Persistent link: https://www.econbiz.de/10011604081

Towards a new early warning system of financial crises

Bussière, Matthieu; Fratzscher, Marcel - 2002

This paper develops a new Early Warning System (EWS) model for predicting financial crises, based on a multinomial logit model. It is shown that EWS approaches based on binomial discrete-dependent-variable models can be subject to what we call a post-crisis bias. This bias arises when no...

Persistent link: https://www.econbiz.de/10011604191