Nowcasting and Forecasting Global Financial Sector Stress and Credit Market

@inproceedings{Schwaab2013NowcastingAF,
  title={Nowcasting and Forecasting Global Financial Sector Stress and Credit Market},
  author={Bernd Schwaab and Siem Jan Koopman and Andr{\'e} Lucas},
  year={2013}
}
We introduce a new international model for the systematic distress risk of financial institutions from the U.S., the European Union, and the Asia-Pacific region. Our proposed dynamic factor model can be represented as a nonlinear, non-Gaussian state space model with parameters that we estimate using Monte Carlo maximum likelihood methods. We construct measures of global financial sector risk and of credit market dislocation, where credit market dislocation is defined as a significant and… CONTINUE READING
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