Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen
[Integration, Cointegration and Long-Horizont Forecasting of Credit-Default-Cycles]
AbstractSummary: This paper examines the longterm forecast performance of cointegrated systems relative to forecast performance of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation, real data sets, and multi-step-ahead forecasts to study this question. The cointegrated system I examine is composed of six vectors, five macoreconomic variables, and a credit-default-cycle. The forecasts produced by the vector error correction modell associated with this system are compared with those obtained from a corresponding differenced vector autoregression, as well as a vector autoregression based upon the levels of the data. Alternative measures of forecast accuracy (full-system) are discussed. My findings suggest that selective forecast performance improvement may be observed by incorporating knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored against the prevalent level or differenced estimation.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 8572.
Date of creation: 01 Jul 2007
Date of revision:
Integration; Cointegration; Forecasting; Credit-default-cycle; Integration; Kointegration; Langzeitprognose; Kreditausfallzyklus;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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96/14, Department of Economics, University of York.
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