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Leading indicators of crisis incidence: evidence from developed countries
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SYSNO ASEP 0387963 Document Type V - Research Report R&D Document Type O - Ostatní Title Leading indicators of crisis incidence: evidence from developed countries Author(s) Babecký, J. (CZ)
Havránek, T. (CZ)
Matějů, Jakub (NHU-C) RID
Rusnák, Marek (NHU-C)
Šmídková, K. (CZ)
Vašíček, B. (CZ)Issue data Frankfurt am Main: European Central Bank, 2012 ISSN 1725-2806 Series European Central Bank Working Paper Series Series number 1486 Number of pages 28 s. Publication form Online - E Language eng - English Country DE - Germany Keywords early warning indicators ; Bayesian model averaging ; macro-prudential policies Subject RIV AH - Economics R&D Projects SVV 265801/2012 GA MŠMT - Ministry of Education, Youth and Sports (MEYS) Institutional support NHU-C - PRVOUK-P23 Annotation We search for early warning indicators that could indicate important risks in developed economies. We therefore examine which indicators are most useful in explaining costly macroeconomic developments following the occurrence of economic crises in EU and OECD countries between 1970 and 2010. To define our dependent variable, we bring together a (continuous) measure of crisis incidence, which combines the output and employment loss and the fiscal deficit into an index of real costs, with a (discrete) database of crisis occurrence. In contrast to recent studies, we explicitly 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, are risk factors worth monitoring in developed economies. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2013 Electronic address http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1486.pdf
Number of the records: 1