This paper examines empirically to which extent public banks feature a different pattern in their lending behaviour over macroeconomic fluctuations. Based on a unique dataset from 1990 to 2010, including at most 459 public banks in 93 countries, I can handle ownership change by including records...

This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index. Based on a Markov-switching model, high financial stress regimes are...

This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a...