000	00000nam 2200000za 4500
001	9.816634
003	CaOODSP
005	20221107142307
007	cr |||||||||||
008	160502s2016    oncd    ob   f000 0 eng d
040	|aCaOODSP|beng
041	|aeng|bfre
043	|an-cn---
086	1 |aFB3-5/2016-21E-PDF
100	1 |aLi, Fuchun.
245	10|aEarly warning of financial stress events |h[electronic resource] : |ba credit-regime-switching approach / |cby Fuchun Li and Hongyu Xiao.
260	|a[Ottawa] : |bBank of Canada, |c2016.
300	|aiii, 30 p. : |bfig., tables
490	1 |aStaff Working Paper, |x1701-9397 ; |v2016-21
500	|a"April 2016."
504	|aIncludes bibliographical references.
520	3 |aWe propose an early warning model for predicting the likelihood of a financial stress event for a given future time, and examine whether credit plays an important role in the model as a non-linear propagator of shocks. This propagation takes the form of a threshold regression in which a regime change occurs if credit conditions cross a critical threshold. The in-sample and out-of-sample forecasting performances are encouraging. In particular, the out-of-sample forecasting results suggest that the model based on the credit-regime-switching approach outperforms the benchmark models based on a linear regression and signal extraction approach across all forecasting horizons and all criteria considered.
692	07|2gccst|aFinancial crisis
692	07|2gccst|aForecasting
692	07|2gccst|aStatistical analysis
692	07|2gccst|aCredit
700	1 |aXiao, Hongyu.
710	2 |aBank of Canada.
830	#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2016-21|w(CaOODSP)9.806221
856	40|qPDF|s428 KB|uhttps://publications.gc.ca/collections/collection_2016/banque-bank-canada/FB3-5-2016-21-eng.pdf