کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
974057 1479794 2011 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
About the soundness of the US-cay indicator for predicting international banking crises
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
About the soundness of the US-cay indicator for predicting international banking crises
چکیده انگلیسی

This paper shows that a macroeconomically founded predictor of global stock market returns, the short-run variation in the trivariate approximation of the U.S. consumption and aggregate wealth ratio (cay), is a useful indicator of international banking crises for the time period from 1970 to 2008 in- and out-of-sample and for various forecast horizons. It outperforms a real estate based indicator as well as other potential measures of global imbalances on stock markets.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The North American Journal of Economics and Finance - Volume 22, Issue 3, December 2011, Pages 237–256
نویسندگان
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