Can macro variables used in stress testing forecast the performance of banks?
Download full text from publisher
References listed on IDEAS
- Clark, Todd E. & West, Kenneth D., 2007.
"Approximately normal tests for equal predictive accuracy in nested models,"
Journal of Econometrics,
Elsevier, vol. 138(1), pages 291-311, May.
- Todd E. Clark & Kenneth D. West, 2005. "Approximately normal tests for equal predictive accuracy in nested models," Research Working Paper RWP 05-05, Federal Reserve Bank of Kansas City.
- Kenneth D. West & Todd Clark, 2006. "Approximately Normal Tests for Equal Predictive Accuracy in Nested Models," NBER Technical Working Papers 0326, National Bureau of Economic Research, Inc.
- Estrella, Arturo & Hardouvelis, Gikas A, 1991.
" The Term Structure as a Predictor of Real Economic Activity,"
Journal of Finance,
American Finance Association, vol. 46(2), pages 555-576, June.
- Arturo Estrella & Gikas A. Hardouvelis, 1989. "The term structure as a predictor of real economic activity," Research Paper 8907, Federal Reserve Bank of New York.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Covas, Francisco B. & Rump, Ben & Zakrajšek, Egon, 2014.
"Stress-testing US bank holding companies: A dynamic panel quantile regression approach,"
International Journal of Forecasting,
Elsevier, vol. 30(3), pages 691-713.
- Francisco Covas & Ben Rump & Egon Zakrajsek, 2013. "Stress-testing U.S. bank holding companies: a dynamic panel quantile regression approach," Finance and Economics Discussion Series 2013-55, Board of Governors of the Federal Reserve System (U.S.).
- Hirtle, Beverly & Kovner, Anna & Vickery, James & Bhanot, Meru, 2016.
"Assessing financial stability: The Capital and Loss Assessment under Stress Scenarios (CLASS) model,"
Journal of Banking & Finance,
Elsevier, vol. 69(S1), pages 35-55.
- Hirtle, Beverly & Kovner, Anna & Vickery, James & Bhanot, Meru, 2014. "Assessing financial stability: the Capital and Loss Assessment under Stress Scenarios (CLASS) model," Staff Reports 663, Federal Reserve Bank of New York, revised 01 Jul 2015.
- Pritsker, Matthew, 2017. "Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction," Risk and Policy Analysis Unit Working Paper RPA 17-4, Federal Reserve Bank of Boston.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-16 (All new papers)
- NEP-BAN-2012-09-16 (Banking)
- NEP-FOR-2012-09-16 (Forecasting)
- NEP-MAC-2012-09-16 (Macroeconomics)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedgfe:2012-49. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Franz Osorio). General contact details of provider: http://edirc.repec.org/data/frbgvus.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.