Article ID Journal Published Year Pages File Type
974057 The North American Journal of Economics and Finance 2011 20 Pages PDF
Abstract

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.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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