Leading indicators of crisis incidence: evidence from developed countries

0391844 - NHU-C 2014 RIV GB eng J - Článek v odborném periodiku
Babecký, J. - Havránek, T. - Matějů, Jakub - Rusnák, M. - Šmídková, K. - Vašíček, B.
Leading indicators of crisis incidence: evidence from developed countries.
Journal of International Money and Finance. Roč. 35, June (2013), s. 1-19. ISSN 0261-5606. E-ISSN 1873-0639
Grant CEP: GA MŠMT(CZ) SVV 267801/2013
Institucionální podpora: PRVOUK-P23
Klíčová slova: early warning indicators * Bayesian model averaging * economic crises
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 1.090, rok: 2013

We examine which indicators are most useful in explaining the cost of economic crises in EU and OECD countries between 1970 and 2010. To define the dependent variable we combine a measure of costs to the economy, which consists of the output and employment loss and the fiscal deficit, with a database of crisis occurrence designed specifically for this task. We take into account model uncertainty in two steps. First, for each potential leading indicator we select the relevant prediction horizon by using panel vector autoregression. Second, we identify the most useful leading indicators with Bayesian model averaging. Our results suggest that domestic housing prices, share prices, and credit growth, and some global variables, such as private credit, constitute important sources of risk.
Trvalý link: http://hdl.handle.net/11104/0220817