Haku

The output gap is a commonly used tool to assess the state of the business cycle, and as such, a key input for policy makers. In this article, we employ principal components analysis (PCA) to derive an estimate of the ...

This paper extends traditional payment system simulation analysis to counterparty liquidity risk exposures. The used stress test scenario corresponds to the counterparty stress scenario applied in the BCBS standard “Monitoring ...

Indicators based on the ratio of credit to GDP have been found to be highly useful predictors of banking crises. We study the difference in this ratio as an early warning indicator. We test a large number of different ...

This article surveys both earlier and recent research on recession forecasting with probit based time series models. Most studies use either a static probit model or its extensions in order to estimate the recession ...