Digital Transformation of Capital Market Infrastructure

Anna A. PESTOVA Mikhail E. MAMONOV

Ekonomicheskaya Politika / Economic Policy, 2020, 30

Abstract: This paper provides a joint analysis of business and credit cycles with a focus on unobservable factors affecting both cycles, at the cross-country level. Using quarterly data for 19 developed countries and Russia for the period from 1994 to 2018, we build a system of two dynamic probit models, which includes a cross-correlation between the errors of the equations governing the probability of a recession and the probability of credit crisis.

Keywords: cross-country analysis; business cycles; credit cycles; bivariate dynamic probit; crisis prediction; in-sample forecasting; out-of-sample forecasting (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:rnp:ecopol:s2056

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