Economic resilience: The usefulness of early warning indicators in OECD countries:
The global financial crisis and the high associated costs have revived the academic and policy interest in "early warning indicators" of crises. This paper provides empirical evidence on the usefulness of a new set of vulnerability indicators, proposed in a companion paper (Röhn et al., 20...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Weitere Verfasser: | |
| Format: | Elektronisch Artikel |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2017
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | The global financial crisis and the high associated costs have revived the academic and policy interest in "early warning indicators" of crises. This paper provides empirical evidence on the usefulness of a new set of vulnerability indicators, proposed in a companion paper (Röhn et al., 2015), in predicting severe recessions and crises in OECD countries. To evaluate the usefulness of the indicators the signalling approach is employed, which takes into account policy makers' preferences between missing crises and false alarms. Our empirical evidence shows that the majority of indicators would have helped to predict severe recessions in OECD economies between 1970 and 2014. In the domestic areas, indicators that measure asset market imbalances (real house and equity prices, house price-to-income and house price-to-rent ratios), perform consistently well both in and out-ofsample. Domestic credit related variables appear particularly useful in signalling upcoming banking crises and in predicting the global financial crisis out-of-sample. Indicators of global risks consistently outperform domestic indicators in terms of their usefulness, highlighting the importance of taking international developments into account when assessing a country's vulnerabilities. The good performance of the global indicators is however subject to a caveat: they are particularly suited to pick up recessions that affect a large number of countries simultaneously, such as the global financial crisis in 2008/09. The results are broadly robust to different definitions of costly events, different forecasting horizons and different time and country samples. JEL classification: E32; E44; E51; F47 Keywords: Resilience, early warning indicators, vulnerabilities, imbalances, severe recessions, crises |
| Beschreibung: | 1 Online-Ressource (27 p.) 21 x 28cm. |
| DOI: | 10.1787/eco_studies-2016-5jg2ppjrd6r3 |
Internformat
MARC
| LEADER | 00000caa a22000002 4500 | ||
|---|---|---|---|
| 001 | ZDB-13-SOC-061274917 | ||
| 003 | DE-627-1 | ||
| 005 | 20231204121400.0 | ||
| 007 | cr uuu---uuuuu | ||
| 008 | 210204s2017 xx |||||o 00| ||eng c | ||
| 024 | 7 | |a 10.1787/eco_studies-2016-5jg2ppjrd6r3 |2 doi | |
| 035 | |a (DE-627-1)061274917 | ||
| 035 | |a (DE-599)KEP061274917 | ||
| 035 | |a (FR-PaOEC)eco_studies-2016-5jg2ppjrd6r3 | ||
| 035 | |a (EBP)061274917 | ||
| 040 | |a DE-627 |b ger |c DE-627 |e rda | ||
| 041 | |a eng | ||
| 084 | |a F47 |2 jelc | ||
| 084 | |a E51 |2 jelc | ||
| 084 | |a E32 |2 jelc | ||
| 084 | |a E44 |2 jelc | ||
| 100 | 1 | |a Hermansen, Mikkel |e VerfasserIn |4 aut | |
| 245 | 1 | 0 | |a Economic resilience: The usefulness of early warning indicators in OECD countries |c Mikkel, Hermansen and Oliver, Röhn |
| 264 | 1 | |a Paris |b OECD Publishing |c 2017 | |
| 300 | |a 1 Online-Ressource (27 p.) |c 21 x 28cm. | ||
| 336 | |a Text |b txt |2 rdacontent | ||
| 337 | |a Computermedien |b c |2 rdamedia | ||
| 338 | |a Online-Ressource |b cr |2 rdacarrier | ||
| 520 | |a The global financial crisis and the high associated costs have revived the academic and policy interest in "early warning indicators" of crises. This paper provides empirical evidence on the usefulness of a new set of vulnerability indicators, proposed in a companion paper (Röhn et al., 2015), in predicting severe recessions and crises in OECD countries. To evaluate the usefulness of the indicators the signalling approach is employed, which takes into account policy makers' preferences between missing crises and false alarms. Our empirical evidence shows that the majority of indicators would have helped to predict severe recessions in OECD economies between 1970 and 2014. In the domestic areas, indicators that measure asset market imbalances (real house and equity prices, house price-to-income and house price-to-rent ratios), perform consistently well both in and out-ofsample. Domestic credit related variables appear particularly useful in signalling upcoming banking crises and in predicting the global financial crisis out-of-sample. Indicators of global risks consistently outperform domestic indicators in terms of their usefulness, highlighting the importance of taking international developments into account when assessing a country's vulnerabilities. The good performance of the global indicators is however subject to a caveat: they are particularly suited to pick up recessions that affect a large number of countries simultaneously, such as the global financial crisis in 2008/09. The results are broadly robust to different definitions of costly events, different forecasting horizons and different time and country samples. JEL classification: E32; E44; E51; F47 Keywords: Resilience, early warning indicators, vulnerabilities, imbalances, severe recessions, crises | ||
| 650 | 4 | |a Economics | |
| 700 | 1 | |a Röhn, Oliver |e MitwirkendeR |4 ctb | |
| 773 | 0 | 8 | |i Enthalten in |t OECD Journal: Economic Studies |g Vol. 2016, no. 1, p. 9-35 |
| 773 | 1 | 8 | |g volume:2016 |g year:2016 |g number:1 |g pages:9-35 |
| 856 | 4 | 0 | |l FWS01 |p ZDB-13-SOC |q FWS_PDA_SOC |u https://doi.org/10.1787/eco_studies-2016-5jg2ppjrd6r3 |3 Volltext |
| 912 | |a ZDB-13-SOC | ||
| 912 | |a ZDB-13-SOC-article | ||
| 912 | |a ZDB-13-SOC | ||
| 951 | |a AR | ||
| 912 | |a ZDB-13-SOC | ||
| 049 | |a DE-863 | ||
Datensatz im Suchindex
| DE-BY-FWS_katkey | ZDB-13-SOC-061274917 |
|---|---|
| _version_ | 1816797353522233344 |
| adam_text | |
| any_adam_object | |
| author | Hermansen, Mikkel |
| author2 | Röhn, Oliver |
| author2_role | ctb |
| author2_variant | o r or |
| author_facet | Hermansen, Mikkel Röhn, Oliver |
| author_role | aut |
| author_sort | Hermansen, Mikkel |
| author_variant | m h mh |
| building | Verbundindex |
| bvnumber | localFWS |
| collection | ZDB-13-SOC ZDB-13-SOC-article |
| ctrlnum | (DE-627-1)061274917 (DE-599)KEP061274917 (FR-PaOEC)eco_studies-2016-5jg2ppjrd6r3 (EBP)061274917 |
| discipline | Wirtschaftswissenschaften |
| doi_str_mv | 10.1787/eco_studies-2016-5jg2ppjrd6r3 |
| format | Electronic Article |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>03195caa a22004212 4500</leader><controlfield tag="001">ZDB-13-SOC-061274917</controlfield><controlfield tag="003">DE-627-1</controlfield><controlfield tag="005">20231204121400.0</controlfield><controlfield tag="007">cr uuu---uuuuu</controlfield><controlfield tag="008">210204s2017 xx |||||o 00| ||eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1787/eco_studies-2016-5jg2ppjrd6r3</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627-1)061274917</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)KEP061274917</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(FR-PaOEC)eco_studies-2016-5jg2ppjrd6r3</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(EBP)061274917</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">F47</subfield><subfield code="2">jelc</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">E51</subfield><subfield code="2">jelc</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">E32</subfield><subfield code="2">jelc</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">E44</subfield><subfield code="2">jelc</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Hermansen, Mikkel</subfield><subfield code="e">VerfasserIn</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Economic resilience: The usefulness of early warning indicators in OECD countries</subfield><subfield code="c">Mikkel, Hermansen and Oliver, Röhn</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Paris</subfield><subfield code="b">OECD Publishing</subfield><subfield code="c">2017</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (27 p.)</subfield><subfield code="c">21 x 28cm.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">Computermedien</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Online-Ressource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">The global financial crisis and the high associated costs have revived the academic and policy interest in "early warning indicators" of crises. This paper provides empirical evidence on the usefulness of a new set of vulnerability indicators, proposed in a companion paper (Röhn et al., 2015), in predicting severe recessions and crises in OECD countries. To evaluate the usefulness of the indicators the signalling approach is employed, which takes into account policy makers' preferences between missing crises and false alarms. Our empirical evidence shows that the majority of indicators would have helped to predict severe recessions in OECD economies between 1970 and 2014. In the domestic areas, indicators that measure asset market imbalances (real house and equity prices, house price-to-income and house price-to-rent ratios), perform consistently well both in and out-ofsample. Domestic credit related variables appear particularly useful in signalling upcoming banking crises and in predicting the global financial crisis out-of-sample. Indicators of global risks consistently outperform domestic indicators in terms of their usefulness, highlighting the importance of taking international developments into account when assessing a country's vulnerabilities. The good performance of the global indicators is however subject to a caveat: they are particularly suited to pick up recessions that affect a large number of countries simultaneously, such as the global financial crisis in 2008/09. The results are broadly robust to different definitions of costly events, different forecasting horizons and different time and country samples. JEL classification: E32; E44; E51; F47 Keywords: Resilience, early warning indicators, vulnerabilities, imbalances, severe recessions, crises</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Economics</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Röhn, Oliver</subfield><subfield code="e">MitwirkendeR</subfield><subfield code="4">ctb</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">OECD Journal: Economic Studies</subfield><subfield code="g">Vol. 2016, no. 1, p. 9-35</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:2016</subfield><subfield code="g">year:2016</subfield><subfield code="g">number:1</subfield><subfield code="g">pages:9-35</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="l">FWS01</subfield><subfield code="p">ZDB-13-SOC</subfield><subfield code="q">FWS_PDA_SOC</subfield><subfield code="u">https://doi.org/10.1787/eco_studies-2016-5jg2ppjrd6r3</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-13-SOC</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-13-SOC-article</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-13-SOC</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-13-SOC</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-863</subfield></datafield></record></collection> |
| id | ZDB-13-SOC-061274917 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-26T14:56:14Z |
| institution | BVB |
| language | English |
| open_access_boolean | |
| owner | DE-863 DE-BY-FWS |
| owner_facet | DE-863 DE-BY-FWS |
| physical | 1 Online-Ressource (27 p.) 21 x 28cm. |
| psigel | ZDB-13-SOC ZDB-13-SOC-article |
| publishDate | 2017 |
| publishDateSearch | 2017 |
| publishDateSort | 2017 |
| publisher | OECD Publishing |
| record_format | marc |
| spelling | Hermansen, Mikkel VerfasserIn aut Economic resilience: The usefulness of early warning indicators in OECD countries Mikkel, Hermansen and Oliver, Röhn Paris OECD Publishing 2017 1 Online-Ressource (27 p.) 21 x 28cm. Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier The global financial crisis and the high associated costs have revived the academic and policy interest in "early warning indicators" of crises. This paper provides empirical evidence on the usefulness of a new set of vulnerability indicators, proposed in a companion paper (Röhn et al., 2015), in predicting severe recessions and crises in OECD countries. To evaluate the usefulness of the indicators the signalling approach is employed, which takes into account policy makers' preferences between missing crises and false alarms. Our empirical evidence shows that the majority of indicators would have helped to predict severe recessions in OECD economies between 1970 and 2014. In the domestic areas, indicators that measure asset market imbalances (real house and equity prices, house price-to-income and house price-to-rent ratios), perform consistently well both in and out-ofsample. Domestic credit related variables appear particularly useful in signalling upcoming banking crises and in predicting the global financial crisis out-of-sample. Indicators of global risks consistently outperform domestic indicators in terms of their usefulness, highlighting the importance of taking international developments into account when assessing a country's vulnerabilities. The good performance of the global indicators is however subject to a caveat: they are particularly suited to pick up recessions that affect a large number of countries simultaneously, such as the global financial crisis in 2008/09. The results are broadly robust to different definitions of costly events, different forecasting horizons and different time and country samples. JEL classification: E32; E44; E51; F47 Keywords: Resilience, early warning indicators, vulnerabilities, imbalances, severe recessions, crises Economics Röhn, Oliver MitwirkendeR ctb Enthalten in OECD Journal: Economic Studies Vol. 2016, no. 1, p. 9-35 volume:2016 year:2016 number:1 pages:9-35 FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/eco_studies-2016-5jg2ppjrd6r3 Volltext |
| spellingShingle | Hermansen, Mikkel Economic resilience: The usefulness of early warning indicators in OECD countries Economics |
| title | Economic resilience: The usefulness of early warning indicators in OECD countries |
| title_auth | Economic resilience: The usefulness of early warning indicators in OECD countries |
| title_exact_search | Economic resilience: The usefulness of early warning indicators in OECD countries |
| title_full | Economic resilience: The usefulness of early warning indicators in OECD countries Mikkel, Hermansen and Oliver, Röhn |
| title_fullStr | Economic resilience: The usefulness of early warning indicators in OECD countries Mikkel, Hermansen and Oliver, Röhn |
| title_full_unstemmed | Economic resilience: The usefulness of early warning indicators in OECD countries Mikkel, Hermansen and Oliver, Röhn |
| title_short | Economic resilience: The usefulness of early warning indicators in OECD countries |
| title_sort | economic resilience the usefulness of early warning indicators in oecd countries |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/eco_studies-2016-5jg2ppjrd6r3 |
| work_keys_str_mv | AT hermansenmikkel economicresiliencetheusefulnessofearlywarningindicatorsinoecdcountries AT rohnoliver economicresiliencetheusefulnessofearlywarningindicatorsinoecdcountries |