Economics at your fingertips  

Leading indicators of financial stress in Croatia: a regime switching approach

Tihana Skrinjaric ()
Additional contact information
Tihana Skrinjaric: Bank of England, Stress Test Strategy Division, London, EC2R 6DA, United Kingdom

Public Sector Economics, 2023, vol. 47, issue 2, 205-232

Abstract: This research focuses on the prediction of the probability of (re)entering high financial stress (via a large set of cyclical risk accumulation indicators). The focus is placed on a specific single-country analysis to obtain answers to questions about which indicators are best in explaining the future probability of (re)entering a high-stress regime. This allows the policymaker to get a better focus on the best-performing variables. It is challenging to monitor a whole set of indicators of cyclical risk build-up; the results could bring into focus a smaller group of the essential variables. The contribution of this paper is in finding a set of indicators that help in forecasting financial stress, in terms of switching from one regime to another. The regime-switching models’ results indicate that some credit specifications, house price dynamics, and debt burden could be best monitored for the case of Croatian data.

Keywords: financial stress; macro-prudential policy; Regime-switching models; Croatia (search for similar items in EconPapers)
JEL-codes: C54 G01 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) ... itching_approach.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.3326/pse.47.2.3

Access Statistics for this article

More articles in Public Sector Economics from Institute of Public Finance Contact information at EDIRC.
Bibliographic data for series maintained by Martina Fabris ().

Page updated 2023-06-24
Handle: RePEc:ipf:psejou:v:47:y:2023:i:2:p:0-0