Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
974057 | The North American Journal of Economics and Finance | 2011 | 20 Pages |
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
Thomas Nitschka,