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...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
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Paris
OECD Publishing
2015
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| Schriftenreihe: | OECD Economics Department Working Papers
no.1250 |
| 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 the 34 OECD economies and Latvia between 1970 and 2014. 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. 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), also perform consistently well both in and out-of sample. Domestic credit related variables appear particularly useful in signalling upcoming banking crises and in predicting the global financial crisis out-of-sample. The results are broadly robust to different definitions of costly events, different forecasting horizons and different time and country samples. |
| Beschreibung: | 1 Online-Ressource (30 p.) 21 x 29.7cm. |
| DOI: | 10.1787/5jrxhgfqx3mv-en |
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| indexdate | 2024-11-26T14:55:58Z |
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| spelling | Hermansen, Mikkel VerfasserIn aut Economic resilience: The usefulness of early warning indicators in OECD countries Mikkel, Hermansen and Oliver, Röhn = Résilience économique : L'utilité des indicateurs d'alerte rapide dans des pays de l'OCDE / Mikkel, Hermansen et Oliver, Röhn Résilience économique : L'utilité des indicateurs d'alerte rapide dans des pays de l'OCDE Paris OECD Publishing 2015 1 Online-Ressource (30 p.) 21 x 29.7cm. Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier OECD Economics Department Working Papers no.1250 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 the 34 OECD economies and Latvia between 1970 and 2014. 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. 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), also perform consistently well both in and out-of sample. Domestic credit related variables appear particularly useful in signalling upcoming banking crises and in predicting the global financial crisis out-of-sample. The results are broadly robust to different definitions of costly events, different forecasting horizons and different time and country samples. Economics Röhn, Oliver MitwirkendeR ctb FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/5jrxhgfqx3mv-en 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_alt | Résilience économique : L'utilité des indicateurs d'alerte rapide dans des pays de l'OCDE |
| 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 = Résilience économique : L'utilité des indicateurs d'alerte rapide dans des pays de l'OCDE / Mikkel, Hermansen et Oliver, Röhn |
| title_fullStr | Economic resilience: The usefulness of early warning indicators in OECD countries Mikkel, Hermansen and Oliver, Röhn = Résilience économique : L'utilité des indicateurs d'alerte rapide dans des pays de l'OCDE / Mikkel, Hermansen et Oliver, Röhn |
| title_full_unstemmed | Economic resilience: The usefulness of early warning indicators in OECD countries Mikkel, Hermansen and Oliver, Röhn = Résilience économique : L'utilité des indicateurs d'alerte rapide dans des pays de l'OCDE / Mikkel, Hermansen et 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/10.1787/5jrxhgfqx3mv-en |
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