TY - JOUR
T1 - Forecasting banking crises with dynamic panel probit models
AU - Antunes, António
AU - Bonfim, Diana
AU - Monteiro, Nuno
AU - Rodrigues, Paulo M.M.
PY - 2018/4/1
Y1 - 2018/4/1
N2 - Banking crises are rare events, but when they occur, their consequences are often dramatic. The aim of this paper is to contribute to the toolkit of early warning models that is available to policy makers by exploring the dynamics and exuberances embedded in a panel dataset that covers 22 European countries over four decades (from 1970Q1 to 2012Q4). The in- and out-of-sample forecast performances of several (dynamic) probit models are evaluated, with the objective of developing common vulnerability indicators with early warning properties. The results obtained show that adding dynamic components and exuberance indicators to the models improves the performances of early warning models significantly.
AB - Banking crises are rare events, but when they occur, their consequences are often dramatic. The aim of this paper is to contribute to the toolkit of early warning models that is available to policy makers by exploring the dynamics and exuberances embedded in a panel dataset that covers 22 European countries over four decades (from 1970Q1 to 2012Q4). The in- and out-of-sample forecast performances of several (dynamic) probit models are evaluated, with the objective of developing common vulnerability indicators with early warning properties. The results obtained show that adding dynamic components and exuberance indicators to the models improves the performances of early warning models significantly.
KW - Banking crisis
KW - Binary data
KW - Dynamic probit models
KW - Early warning indicators
UR - http://www.scopus.com/inward/record.url?scp=85041418997&partnerID=8YFLogxK
U2 - 10.1016/j.ijforecast.2017.12.003
DO - 10.1016/j.ijforecast.2017.12.003
M3 - Article
AN - SCOPUS:85041418997
SN - 0169-2070
VL - 34
SP - 249
EP - 275
JO - International Journal of Forecasting
JF - International Journal of Forecasting
IS - 2
ER -