Antunes, Antonio
[VerfasserIn]
;
Bonfim, Diana
[Sonstige Person, Familie und Körperschaft];
Monteiro, Nuno
[Sonstige Person, Familie und Körperschaft];
Rodrigues, Paulo M.M
[Sonstige Person, Familie und Körperschaft]
Forecasting Banking Crises with Dynamic Panel Probit Models
Erschienen in:Banco de Portugal Working Papers 2016
Umfang:
1 Online-Ressource (49 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2834967
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 5, 2016 erstellt
Beschreibung:
Banking crises are rare events, however when they occur they often have dramatic consequences. The aim of this paper is to contribute to the toolkit of early warning models available to policy makers by exploring the dynamics and non-linearities embedded in a panel dataset covering several countries over three decades. The in-sample and out-of-sample forecast performance of several dynamic probit models is evaluated, with the objective of developing a common vulnerability indicator with early warning properties. The results obtained evidence that adding dynamic and non-linear components to the models substantially improves the ability to forecast banking crises