Early Warning Indicator Model of Financial Developments Using an Ordered Logit [NOOK Book]

Overview

The recent financial crisis has demonstrated in an impressive way that boom/bust cycles can
have devastating effects on the real economy. This paper aims at contributing to the literature
on early warning indicator exercises for asset price development. Using a sample of 17
industrialised OECD countries and...
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Early Warning Indicator Model of Financial Developments Using an Ordered Logit

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Overview

The recent financial crisis has demonstrated in an impressive way that boom/bust cycles can
have devastating effects on the real economy. This paper aims at contributing to the literature
on early warning indicator exercises for asset price development. Using a sample of 17
industrialised OECD countries and the euro area over the period 1969 Q1 – 2011 Q2, an asset
price composite indicator incorporating developments in both stock and house price markets is
constructed. The latter is then further developed in order to identify periods that can be
characterised as asset price booms and busts. The subsequent empirical analysis is based on an
ordered logit-type approach incorporating several monetary, financial and real variables.
Following some statistical tests, credit aggregates, the interest rate spread together with the
house price growth gap and stock price developments appear to be useful indicators for the
prediction of asset price developments.
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Product Details

  • BN ID: 2940148505358
  • Publisher: ReadCycle
  • Publication date: 10/9/2013
  • Sold by: Barnes & Noble
  • Format: eBook
  • File size: 361 KB

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