Arbeitspapier
Forecasting the fragility of the banking and insurance sector
This paper considers the issue of forecasting financial fragility of banks and insurances using a panel data set of performance indicators, namely distance-to- default, taking unobserved common factors into account. We show that common factors are important in the performance of banks and insurances, analyze the influences of a number of observable factors on banking and insurance performance, and evaluate the forecasts from our model. We find that taking unobserved common factors into account reduces the the root mean square forecasts error of firm specific forecasts by up to 11% and of system forecasts by up to 29% relative to a model based only on observed variables. Estimates of the factor loadings suggest that the correlation of financial institutions has been relatively stable over the forecast period.
- Sprache
-
Englisch
- Erschienen in
-
Series: DIW Discussion Papers ; No. 882
- Klassifikation
-
Wirtschaft
Forecasting Models; Simulation Methods
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Insurance; Insurance Companies; Actuarial Studies
- Thema
-
Financial stability
financial linkages
banking
insurances
unobserved common factors
forecasting
Bankenkrise
Bankenliquidität
Versicherung
Betriebliche Liquidität
Prognoseverfahren
Welt
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bernoth, Kerstin
Pick, Andreas
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsches Institut für Wirtschaftsforschung (DIW)
- (wo)
-
Berlin
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bernoth, Kerstin
- Pick, Andreas
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2009
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