Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/175681 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
ECB Working Paper No. 2057
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
This paper predicts phases of the financial cycle by combining 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 transition to a tranquil state. Whereas the in-sample analysis suggests that these indicators can provide an early warning signal up to several quarters prior to the respective regime change, the out-of-sample findings indicate that most of this performance is due to the data gathered during the global financial crisis. Comparing the prediction performance with a standard binary early warning model reveals that the MS model is outperforming in the vast majority of model specifications for a horizon up to three quarters prior to the onset of financial stress.
Schlagwörter: 
Time-varying transition probability Markov switching model
early warning model
continuous coincident financial stress measure
JEL: 
C54
G01
G15
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-2779-6
Dokumentart: 
Working Paper

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