Forecasting banking crises with dynamic panel probit models
نویسندگان
چکیده
منابع مشابه
Evaluate Simple and Dynamic Probit Panel Models in Forecasting Banking Crises
Empirical evidence shows that the banking crisis is one of the leading causes of economic crises. The occurrence of a banking crisis due to the interconnectedness of the banking network with countries' economies makes it very difficult to study and predict them. The research method in this research is applied. The statistical population of the research includes Saderat, Mellat, Tejarat, Eghtesa...
متن کاملDynamic Panel Probit with Flexible Correlated Effects
In this paper, we analyze a dynamic panel probit model with two flexible latent effects: first, unobserved individual heterogeneity that is allowed to vary in the population according to an assumption-free nonparametric distribution, and second, with a latent serially correlated common error component. In doing so, we extend the approach developed in Albert and Chib (1993), Albert and Chib (199...
متن کاملForecasting the Direction of the U.S. StockMarket with Dynamic Binary Probit Models
Several empirical studies have documented that the signs of excess stock returns are, to some extent, predictable. In this paper, we consider the predictive ability of the binary dependent dynamic probit model in predicting the direction of monthly excess stock returns. The recession forecast obtained from the model for a binary recession indicator appears to be the most useful predictive varia...
متن کاملForecasting with dynamic factor models
The validity of previous findings that dynamic factor models are useful for macroeconomic forecasting is of great importance for subsequent studies which use these models not only as a starting point for further developments but also as a benchmark for the evaluation of the forecasting performance of these further developments. Reanalyzing a standard macroeconomic dataset, we do not find any ev...
متن کاملDynamic Panel Probit Models for Current Account Reversals and their Efficient Estimation
We use panel probit models with unobserved heterogeneity and serially correlated errors in order to analyze the determinants and the dynamics of current-account reversals for a panel of developing and emerging countries. The likelihood evaluation of these models requires high-dimensional integration for which we use a generic procedure known as Efficient Importance Sampling (EIS). Our empirical...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2018
ISSN: 0169-2070
DOI: 10.1016/j.ijforecast.2017.12.003