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• W4296351007 abstract "This paper applies a Qual VAR approach to generate a continuous banking crisis indicator from an underlying latent variable using a Markov Chain Monte Carlo algorithm. Four decades of banking crises are assessed by accounting for the evolutionary nature of precursors, as measured through periodic, regional, and developmental effects using a representative sample of countries. Aggregate results from forecast error variance decomposition show that banking sector variables explain nearly half of total variation, external sector a third and real sector a fifth. Findings suggest that recursive out-of-sample forecasts up to 12-months preceding a banking crisis render vital early warning signals, and as based on quarterly data, support expeditious response times. In out-of-sample forecasting, the Qual VAR outperforms a probit model. Improved forecasting performance may assist banking oversight departments and support remediation efforts of policymakers to adequately and timeously respond to banking crises." @default.
• W4296351007 created "2022-09-20" @default.
• W4296351007 creator A5011468831 @default.
• W4296351007 date "2022-09-19" @default.
• W4296351007 modified "2023-09-30" @default.
• W4296351007 title "Dynamic forecasting of banking crises with a Qual VAR" @default.
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• W4296351007 doi "https://doi.org/10.1080/15140326.2020.1816132" @default.
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