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Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach

Puddu, Stefano - 2013

non-linear Vector Autoregressive models (VAR) for the US and Switzerland. The model specification includes the output gap …

Persistent link: https://www.econbiz.de/10011957706

Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach

Puddu, Stefano - Institut de recherches économiques (IRENE), Faculté … - 2013

non-linear Vector Autoregressive models (VAR) for the US and Switzerland. The model specification includes the output gap …

Persistent link: https://www.econbiz.de/10011149775

Real-financial connectedness in the Swiss economy

Uluceviz, Erhan; Yılmaz, Kamil - In: Swiss journal of economics and statistics 156 (2020) 1/1, pp. 1-20

markets as shock propagators using a network centrality measure. We find that 2008-2009 recession in Switzerland and the Swiss …

Persistent link: https://www.econbiz.de/10012257460

The Swiss business cycle and the lead of small neighbor Liechtenstein

Brunhart, Andreas - 2015

This contribution investigates the business cycles of Switzerland compared to its five neighboring countries Germany … indicator for Switzerland's economy, regarding the growth rates as well as the output gap. This finding is based on cross …(st)staates Liechtenstein einen Vorlaufindikator für die Volkswirtschaft der Schweiz darstellt, sowohl was die Wachstumsra-ten als auch die …

Persistent link: https://www.econbiz.de/10011427978

Dynamic Forecasting of Banking Crises With a Qual VAR

du Plessis, Emile - 2022

This paper applies a Qual VAR approach to generate a continuous banking crisis indicator from an underlying latent variable using a Markov Chain Monte Carlo algorithm. Four decades of banking crises are assessed by accounting for the evolutionary nature of precursors, as measured through...

Persistent link: https://www.econbiz.de/10014235526

A large Bayesian VAR of the United States Economy

Crump, Richard K.; Eusepi, Stefano; Giannone, Domenico; … - 2021

We model the United States macroeconomic and financial sectors using a formal and unified econometric model. Through shrinkage, our Bayesian VAR provides a flexible framework for modeling the dynamics of thirty-one variables, many of which are tracked by the Federal Reserve. We show how the...

Persistent link: https://www.econbiz.de/10012613922

Financial conditions and density forecasts for US output and inflation

Alessandri, Piergiorgio; Mumtaz, Haroon - 2014

When do financial markets help in predicting economic activity? With incomplete markets, the link between financial and real economy is state-dependent and financial indicators may turn out to be useful particularly in forecasting "tail" macroeconomic events. We examine this conjecture by...

Persistent link: https://www.econbiz.de/10010339756

Financial Indicators and Density Forecasts for US Output and Inflation

Alessandri, Piergiorgio - 2015

Persistent link: https://www.econbiz.de/10013030204

Constructing a composite indicator to assess cyclical systemic risks : an early warning approach

Koponen, Heidi - 2024

The main contribution of this paper is the construction of a cyclical systemic risk indicator from early warning indicators of banking crises (EWIs) used in Finland. Previous research has shown that combining EWIs can enhance their early warning properties. This study evaluates the indicator's...

Persistent link: https://www.econbiz.de/10014526680

A Comparison of Direct and Iterated Multistep Ar Methods for Forecasting Macroeconomic Time Series

Marcellino, Massimiliano; Stock, James H.; Watson, Mark W. - 2014

"Iterated" multiperiod ahead time series forecasts are made using a one-period ahead model, iterated forward for the desired number of periods, whereas "direct" forecasts are made using a horizon-specific estimated model, where the dependent variable is the multi-period ahead value being...

Persistent link: https://www.econbiz.de/10014066268