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Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Bank of Canada Staff Working Paper No. 2016-21
Verlag: 
Bank of Canada, Ottawa
Zusammenfassung: 
We propose an early warning model for predicting the likelihood of a financial stress event for a given future time, and examine whether credit plays an important role in the model as a non-linear propagator of shocks. This propagation takes the form of a threshold regression in which a regime change occurs if credit conditions cross a critical threshold. The in-sample and out-of-sample forecasting performances are encouraging. In particular, the out-of-sample forecasting results suggest that the model based on the credit-regime-switching approach outperforms the benchmark models based on a linear regression and signal extraction approach across all forecasting horizons and all criteria considered.
Schlagwörter: 
Financial stability
Econometric and statistical methods
JEL: 
C12
C14
G01
G17
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