Similar Search Results

A bankruptcy probability model for assessing credit risk on corporate loans with automated variable selection

Hjelseth, Ida Nervik; Raknerud, Arvid; Vatne, Bjørn Helge - 2022

We propose an econometric model for predicting the share of bank debt held by bankrupt firms by combining a novel set of firm-level financial variables and macroeconomic indicators. Our firm-level data include payment remarks in the form of debt collections from private agencies and attachments...

Persistent link: https://www.econbiz.de/10014551720

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011460766

Forecasting with dynamics models using shrinkage-based estimation

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008

focusing on forecasting inflation and GDP growth in a panel of countries confirms this finding. …

Persistent link: https://www.econbiz.de/10010280764

Forecasting large datasets with reduced rank multivariate models

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2007

The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance with the most promising …

Persistent link: https://www.econbiz.de/10010284099

Financial Distress as an Agency Problem: Evidence on Non-Monotonic and Substitute Discipline Effects of Leverage and Competition

Uğur, Mehmet; Solomon, Edna Maeyen; Zeynalov, Ayaz - 2021

This paper addresses two issues encountered in the empirical financial distress literature: a-theoretical treatment of … leverage and product-market competition as predictors of financial distress hazard; and lack of attention to frailty as a … potential source of bias in reported estimates. We address the first issue by postulating that financial distress is essentially …

Persistent link: https://www.econbiz.de/10014547844

Predicting re-employment: Machine learning versus assessments by unemployed workers and by their caseworkers

van den Berg, Gerard J.; Kunaschk, Max; Lang, Julia; … - 2023

We analyze unique data on three sources of information on the probability of re-employment within 6 months (RE6), for the same individuals sampled from the inflow into unemployment. First, they were asked for their perceived probability of RE6. Second, their caseworkers revealed whether they...

Persistent link: https://www.econbiz.de/10014540915

Quick job entry or long-term human capital development? The dynamic effects of alternative training schemes

Osikominu, Aderonke - 2012

This paper investigates how precisely short-term, job-search oriented training programs as opposed to long-term, human capital intensive training programs work. We evaluate and compare their effects on time until job entry, stability of employment, and earnings. Further, we examine the...

Persistent link: https://www.econbiz.de/10010316834

Moral hazard among the sick and unemployed: Evidence from a Swedish social insurance reform

Larsson, Laura; Runeson, Caroline - 2007

This paper looks at a specific type of moral hazard that arises in the interplay between two large public insurance systems in Sweden, namely the sickness insurance (SI) and the unemployment insurance (UI). Moral hazard can arise from the benefit size structure as for some unemployed persons,...

Persistent link: https://www.econbiz.de/10010317946

Trade first and trade fast: a duration analysis of recovery from currency crisis

Deb, Saubhik - 2005

Over the last three decades, durations of recovery of output from contractionary currency crises have shown much variation both within and across countries. Using a dataset comprising of both developing and industrial countries, this paper examines the importance of economic fundamentals,...

Persistent link: https://www.econbiz.de/10010266348

Do interactions between unemployment insurance and sickness insurance affect transitions to employment?

Hall, Caroline - 2008

Previous research suggests that there are substantial interactions between the unemployment insurance (UI) and the sickness insurance (SI) in Sweden. Moral hazard arises in the interplay between these two social insurance systems, since by reporting sick an unemployed person can postpone the UI...

Persistent link: https://www.econbiz.de/10010273963