1,028
Views
1
CrossRef citations to date
0
Altmetric
Finance and Banking Economics

Dynamic forecasting of banking crises with a Qual VAR

ORCID Icon
Pages 477-503 | Received 14 Nov 2019, Accepted 23 Aug 2020, Published online: 19 Sep 2022

References

  • Abiad, A. (2003). Early-warning systems: A survey and a regime-switching approach. IMF Working Paper, WP/03/32.
  • Albert, J. H., & Chib, S. (1993). Bayesian analysis of binary and polychotomous response data. Journal of the American Statistical Association, 88(422), 669–679.
  • Alessi, L., & Detken, C. (2011). Quasi real time early warning indicators for costly asset price boom/bust cycles: A role for global liquidity. European Journal of Political Economy, 27(3), 520–533.
  • Barrell, R., Davis, E., Karim, D., & Liadze, I. (2010). Bank regulation, property prices and early warning systems for banking crises in OECD countries. Journal of Banking and Finance, 34(9), 2255–2264.
  • Berg, A., Borensztein, E., & Pattillo, Z. (2005). Assessing early warning systems: How have they worked in practice? IMF Staff Papers, 52, 3.
  • Berge, T. J., & Jord`a, O. (2011). Evaluating the classification of economic activity into recessions and expansions. American Economic Journal, Macroeconomics, 3(2), 246–277.
  • Birchenhall, C. R., Jessen, H., Osborn, D. R., & Simpson, P. W. (1999). Predicting U.S. business cycle regimes. Journal of Business and Economic Statistics, 17(3), 313–323.
  • Bordo, M., Dueker, M. J., & Wheelock, D. (2008). Inflation, monetary policy and stock market conditions. NBER Working Paper, 14019, National Bureau of Economic Research.
  • Bordo, M., Eichengreen, B., Klingebiel, D., & Martinez-Peria, M. S. (2001). Is the crisis problem growing more severe? Economic Policy, 16, 51–82.
  • Bussière, M., & Fratzscher, M. (2006). Towards a new early warning system of financial crises. Journal of International Money and Finance, 25(6), 953–973.
  • Calomiris, C. (2010). The great depression and other ‘contagious’ events. The Oxford Handbook of Banking. Oxford: Oxford University Press.
  • Caprio, G., & Klingebiel, D. (1996). Bank insolvencies: Cross-country experience. Working Paper, Number 1620. World Bank.
  • Caprio, G., & Klingebiel, D. (2003). Episodes of systemic and borderline financial crises. In Managing the Real and Fiscal Effects of Banking Crises edited by Klingebiel, D and Laeven, L., World Bank Discussion Paper 428, 31-49. Washington, D.C.: World Bank.
  • Chauvet, M. (1998). An econometric characterization of business cycle dynamics with factor structure and regime switching. International Economic Review, 39(4), 969–996.
  • Chauvet, M., & Potter, S. (2003). Predicting recessions using the yield curve. Journal of Forecasting, 24(2), 77–103.
  • Chauvet, M., & Potter, S. (2010). Business cycle monitoring with structural changes. International Journal of Forecasting, 26(4), 777–793.
  • Chib, S. (1993). Bayes regression with autoregressive errors: A Gibbs sampling approach. Journal of Econometrics, 58(3), 275–294.
  • Choi, I. (2001). Unit root tests for panel data. Journal of International Money and Finance, 20(2), 249–272.
  • Claessens, S., Kose, M. A., & Terrones, M. (2011). The global financial crisis: How similar? How different? How costly? Journal of Asian Economics, 21(3), 247–264.
  • DeLong, E. R., DeLong, D. M., & Clarke-Pearson, D. L. (1988). Comparing the areas under two or more correlated receiver operating characteristic curves: A nonparametric approach. Biometrics, 44(3), 837–845.
  • Demirgüç-Kunt, A., & Detragiache, E. (2000). Monitoring banking sector fragility: A multivariate logit approach. The World Bank Economic Review, 14(2), 287–307.
  • Demirguc-Kunt, A., & Detregiache, E. (1998). The determinants of banking crises in developing and developed countries. IMF Staff Papers, 45(1). Washington: International Monetary Fund.
  • Döpke, J., Fritsche, U. and Pierdzioch, C. 2017. “Predicting Recessions with Boosted Regression Trees. International Journal of Forecasting, Vol 33, pp 745–759.
  • Dueker, M. J. (1999). Conditional heteroscedasticity in qualitative response models of time series: A Gibbs sampling approach to the bank prime rate. Journal of Business and Economic Statistics, 17(4), 466–472.
  • Dueker, M. J. (2001). Forecasting qualitative variables with vector autoregressions: A Qual VAR model of U.S. recessions, Federal Reserve Bank of St. Louis, Working Paper 012A.
  • Dueker, M. J. (2003). Dynamic forecasts of qualitative variables: A Qual VAR model of U.S. recessions. Federal Reserve Bank of St. Louis, Working Paper, 2001-012B. Revised 2003.
  • Dueker, M. J. (2005). Dynamic forecasts of qualitative variables. Journal of Business and Economic Statistics, 23, 96-104.
  • Dueker, M. J., & Assenmacher-Wesche, K. (2010). Forecasting macro variables with a Qual VAR business cycle turning point index. Applied Economics, 42(23), 2909-2920.
  • Eichenbaum, M., & Evans, C. L. (1995). Some empirical evidence on the effects of shocks to monetary policy on exchange rates. Quarterly Journal of Economics, 110(4), 975–1009.
  • Eichengreen, B. J., Watson, M. W., & Grossman, R. S. (1985). Bank rate policy under the interwar gold standard: A dynamic probit model. The Economic Journal, 95(379), 725–745.
  • El-Shagi, M., & Von Schweinitz, G. (2016). Qual VAR revisited: Good forecast, bad story. Journal of Applied Economics, 19(2), 293–321.
  • Filardo, A. J. (1994). Business cycle phases and their transitional dynamics. Journal of Business and Economic Statistics, 12(3), 299–308.
  • Fornari, F., & Lemke, W. (2010). Predicting recession probabilities with financial variables over multiple horizons. European Central Bank, Working Paper Series, 1255.
  • Frankel, J., & Saravelos, G. (2012). Can leading indicators assess country vulnerability? Evidence from the 2008–09 global financial crisis. Journal of International Economics, 87(2), 216–231.
  • Frankel, J. A., & Rose, A. K. (1996). Currency crashes in emerging markets: An empirical treatment. Journal of International Economics, 41(3), 351-366.
  • Fratzscher, M. (2003). On currency crises and contagion. International Journal of Finance and Economics, 8(2), 109–129.
  • Galvão, A. (2006). Structural break threshold VARs for predicting US recessions using the spread. Journal of Applied Econometrics, 21(4), 463–487.
  • Goldfeld, S. M., & Quandt, R. E. (1973). A Markov model for switching regressions. Journal of Econometrics, 1(1), 3–16.
  • González-Hermosillo, B., Pazarbasioglu, C., & Billings, R. (1997). Determinants of banking sector fragility: A case study of Mexico. IMF Staff Papers, 44(3). Washington: International Monetary Fund.
  • Gupta, R., & Wohar, M. E. (2015). Forecasting oil and stock returns with a Qual VAR using over 150 years of data. University of Pretoria, Working Paper, 2015-89.
  • Hamilton, J. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, 57(2), 357–384.
  • Hamilton, J. D. (1990). Analysis of time series subject to changes in regime. Journal of Econometrics, 45(1–2), 39–70.
  • Hamilton, J. D. (1994). Time Series Analysis. Princeton: Princeton University Press.
  • Harding, D., & Pagan, A. (2011). An econometric analysis of some models for constructed binary time series. Journal of Business and Economic Statistics, 29(1), 86–95.
  • Hardy, D. C., & Pazarbasioglu, C. (1998). Leading indicators of banking crises: Was Asia different? IMF Working Paper, WP/98/91.
  • Hartmann, P., Hubrich, K., Kremer, M., & Tetlow, R. (2015). Melting Down: Systemic Financial Instability and the Macroeconomy.SSRN. Available at http://dx.doi.org/10.2139/ssrn.2462567.
  • IMF. (1998). Financial crises: Causes and indicators, world economic outlook. Washington D.C: International Monetary Fund.
  • IMF. (2018). International financial statistics. Yearbook 2018. Washington D.C: International Monetary Fund.
  • Kaminsky, G., Lizondo, S., & Reinhart, C. M. (1998). Leading indicators of currency crises. Staff Papers - International Monetary Fund, 45(1), 1.
  • Kaminsky, G., & Reinhart, C. (1999). The Twin Crises: The Causes of Banking and Balance-of-Payments Problems. American Economic Review, 89(3), 473–500.
  • Kauppi, H., & Saikkonen, P. (2008). Predicting U.S. recessions with dynamic binary response models. The Review of Economics and Statistics, 90(4), 777–791.
  • Kim, C.-J., & Nelson, C. R. (1998). Business cycle turning points, a new coincident index, and tests of duration dependence based on a dynamic factor model with regime switching. Review of Economics and Statistics, 80(2), 188–201.
  • Knedlik, T., & Von Schweinitz, G. (2012). Macroeconomic imbalances as indicators for debt crises in Europe. JCMS: Journal of Common Market Studies, 50(5), 726–745.
  • Laeven, L., & Valencia, F. (2010). Resolution of banking crises: The good, the bad and the ugly. IMF Working Paper, Number 10/146.
  • Laeven, L. and Valencia, F. (2018). Systemic banking crises revisited. IMF Working Paper, WP/18/206.
  • Lindgren, C. J., Garcia, G., & Saal, M. I. (1996). Bank soundness and macroeconomic policy. Washington: IMF.
  • Lütkepohl, H. (1990). Asymptotic distributions of impulse response functions and forecast error variance decompositions of vector autoregressive models. The Review of Economics and Statistics, 72(1), 116–125.
  • Meinusch, A., & Tillmann, P. (2015). The macroeconomic impact of unconventional monetary policy shocks. Journal of Macroeconomics, 47(PA), 58-67.
  • Nyberg, H. (2010). Dynamic probit models and financial variables in recession forecasting. Journal of Forecasting, 29(1–2), 215–230.
  • Paap, R., Segers, R., & Van Dijk, D. (2009). Do leading indicators lead peaks more than troughs? Journal of Business and Economic Statistics, 27(4), 528–543.
  • Phillips, C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.
  • Quandt, R. E. (1958). The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes. Journal of the American Statistical Association, 53(284), 873–880.
  • Reinhart, C. M. (2002). Default, currency crises, and sovereign credit ratings. The World Bank Economic Review, 16(2), 151–170.
  • Reinhart, C. M., & Rogoff, K. S. (2009). This time is different: Eight centuries of financial folly. New Jersey: Princeton University Press.
  • Rudebusch, G., & Williams, J. (2009). Forecasting recessions: The puzzle of the enduring power of the yield curve. Journal of Business and Economic Statistics, 27(4), 492–503.
  • Seyman, A. (2008). A critical note on the forecast error variance decomposition. Centre for European Economic Research, Discussion Paper, 08-065.
  • Shin, I., & Hahm, J. H. (1998). The Korean crisis: Causes and resolution. Korea Development Institute Working Paper.
  • Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48.
  • Stock, J. H., & Watson, M. W. (2001). Vector Autoregressions. Massachusetts: National Bureau of Economic Research.
  • Sun, X., & Weichao, X. (2014). Fast implementation of Delongs algorithm for comparing the areas under correlated receiver operating characteristic curves. IEEE Signal Processing Letters, 21(11), 1389–1393.
  • Uhlig, H. (2017). Shocks, sign restrictions and identification. In B. Honoré, M. Pakes, M. Piazzesi, & L. Samuelson (Eds.), Advances in economics and econometrics: Eleventh world congress, econometric society monographs. Cambridge: Cambridge University Press, 95-127.
  • Vlaar, P. J. G. (1999). Currency crises models for emerging markets. Research Memorandum WO&E 595/9928, 1-32.