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Statements

Subject Item
n2:RIV%2F00216208%3A11640%2F13%3A00391844%21RIV14-MSM-11640___
rdf:type
n6:Vysledek skos:Concept
dcterms:description
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. 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.
dcterms:title
Leading indicators of crisis incidence: evidence from developed countries Leading indicators of crisis incidence: evidence from developed countries
skos:prefLabel
Leading indicators of crisis incidence: evidence from developed countries Leading indicators of crisis incidence: evidence from developed countries
skos:notation
RIV/00216208:11640/13:00391844!RIV14-MSM-11640___
n6:predkladatel
n9:orjk%3A11640
n3:aktivita
n5:S n5:P n5:I
n3:aktivity
I, P(GAP402/11/1487), S
n3:cisloPeriodika
June
n3:dodaniDat
n7:2014
n3:domaciTvurceVysledku
n16:5193559
n3:druhVysledku
n11:J
n3:duvernostUdaju
n19:S
n3:entitaPredkladatele
n20:predkladatel
n3:idSjednocenehoVysledku
84492
n3:idVysledku
RIV/00216208:11640/13:00391844
n3:jazykVysledku
n12:eng
n3:klicovaSlova
early warning indicators; Bayesian model averaging; economic crises
n3:klicoveSlovo
n17:early%20warning%20indicators n17:Bayesian%20model%20averaging n17:economic%20crises
n3:kodStatuVydavatele
GB - Spojené království Velké Británie a Severního Irska
n3:kontrolniKodProRIV
[FA928333E3A2]
n3:nazevZdroje
Journal of International Money and Finance
n3:obor
n13:AH
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
6
n3:projekt
n15:GAP402%2F11%2F1487
n3:rokUplatneniVysledku
n7:2013
n3:svazekPeriodika
35
n3:tvurceVysledku
Babecký, J. Vašíček, B. Matějů, Jakub Rusnák, M. Havránek, T. Šmídková, K.
n3:wos
000319640800001
s:issn
0261-5606
s:numberOfPages
19
n10:doi
10.1016/j.jimonfin.2013.01.001
n14:organizacniJednotka
11640