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On the Long-Run Calibration of the Credit-to-GDP Gap as a Banking Crisis Predictor
Kauko, Karlo - 2019
The trend deviation of the Credit-to-GDP ratio (“Basel gap”) is a widely used early warning indicator of banking crises. It is calculated with the one-sided Hodrick-Prescott filter using an extremely large value of the smoothing parameter λ. We recalibrate the smoothing parameter with panel...
Persistent link: https://www.econbiz.de/10012891697
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The Delphi method in forecasting financial markets : an experimental study
Kauko, Karlo; Palmroos, Peter - In: International journal of forecasting 30 (2014) 2, pp. 313-327
Persistent link: https://www.econbiz.de/10010510906
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On the long-run calibration of the credit-to-GDP gap as a banking crisis predictor
Kauko, Karlo; Tölö, Eero - 2019
Persistent link: https://www.econbiz.de/10012112784
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Banking crisis prediction with differenced relative credit
Kauko, Karlo; Tölö, Eero - In: Applied economics quarterly 65 (2019) 4, pp. 277-297
Persistent link: https://www.econbiz.de/10012432458