Leading indicators of financial stress in Croatia: a regime switching approach (CROSBI ID 316713)
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Podaci o odgovornosti
Škrinjarić, Tihana
engleski
Leading indicators of financial stress in Croatia: a regime switching approach
This research focuses on the high financial stress (re)entering probability prediction via a great set of cyclical risk accumulation indicators. The focus is set on 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. As monitoring a whole set of indicators of cyclical risk build-up is already challenging, the results could focus on a smaller group of the essential variables. That is why the contribution of this paper is 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.
Financial stress ; Macro-prudential policy ; Regime-switching models ; Croatia
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