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

Autori
Škrinjarić, Tihana

Izvornik
Public sector economics (2459-8860) 47 (2023), 2; 205-232

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Financial stress ; Macro-prudential policy ; Regime-switching models ; Croatia

Sažetak
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.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

POVEZANOST RADA