About the soundness of the US-cay indicator for predicting international banking crises

Thomas Nitschka

The North American Journal of Economics and Finance, 2011, vol. 22, issue 3, 237-256

Abstract: This paper shows that a macroeconomically founded predictor of global stock market returns, the short-run variation in the trivariate approximation of the U.S. consumption and aggregate wealth ratio (cay), is a useful indicator of international banking crises for the time period from 1970 to 2008 in- and out-of-sample and for various forecast horizons. It outperforms a real estate based indicator as well as other potential measures of global imbalances on stock markets.

Keywords: Bank crisis; Consumption–wealth ratio; Indicator; Stock market imbalances (search for similar items in EconPapers)
JEL-codes: E21 E44 G01 G21 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:22:y:2011:i:3:p:237-256

DOI: 10.1016/j.najef.2011.02.004

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