Forecasting the fragility of the banking and insurance sectors
Linkages between banks and insurance companies are important when forecasting the fragility of the banking and insurance sectors. We propose a novel empirical framework that allows us to estimate unobserved linkages in panel data sets that contain observed regressors. We find that taking unobserved...
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| Veröffentlicht in: | Journal of banking & finance 2011-04, Vol.35 (4), p.807-818 |
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| container_title | Journal of banking & finance |
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| creator | Bernoth, Kerstin Pick, Andreas |
| description | Linkages between banks and insurance companies are important when forecasting the fragility of the banking and insurance sectors. We propose a novel empirical framework that allows us to estimate unobserved linkages in panel data sets that contain observed regressors. We find that taking unobserved common factors into account reduces the root mean square forecasts error of firm specific forecasts by up to 9%, of system forecasts by up to 14%, and by up to 39% for systemic forecasts of more distressed firms relative to a model based on observed variables only. Estimates of the factor loadings suggest that the correlation of financial institutions has been relatively stable over the forecast period. |
| doi_str_mv | 10.1016/j.jbankfin.2010.10.024 |
| format | Article |
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Estimates of the factor loadings suggest that the correlation of financial institutions has been relatively stable over the forecast period.</description><subject>Banking</subject><subject>Banking industry</subject><subject>Correlation</subject><subject>Correlation analysis</subject><subject>Economic models</subject><subject>Economic stability</subject><subject>Empirical research</subject><subject>Error correction models</subject><subject>Financial linkages</subject><subject>Financial stability</subject><subject>Financial stability Financial linkages Banking Insurances Unobserved common factors</subject><subject>Forecasting techniques</subject><subject>Insurance companies</subject><subject>Insurance industry</subject><subject>Insurances</subject><subject>Mean square errors</subject><subject>Studies</subject><subject>Unobserved common factors</subject><issn>0378-4266</issn><issn>1872-6372</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2011</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNqFUctKBDEQDKLg-vgFGbx4mjWPSSZ7EUV8InjRc8gkHc24O7Mms8L-vT2uevBioNLQqapuKoQcMTpllKnTdto2tnsLsZty-tWcUl5tkQnTNS-VqPk2mVBR67LiSu2SvZxbikczMSFn130CZ_MQu5dieIUiJPsS53FYF334aoze46PtfBG7vEq2c1BkcEOf8gHZCXae4fC77pPn66uny9vy4fHm7vLioXSSV0PJwalZ7ZRsvA_KKSUFlzWzlRU0zOiM8Too4A3MKhmEq6gUjQUdPHjvpWvEPjnZ-C5T_76CPJhFzA7mc9tBv8pGK4mDmKiQefyH2far1OFyRktFhdKUI0ltSC71OScIZpniwqa1YdSMoZrW_IRqxlDHPoaKwvuNMMES3K8KANoGudZ8GGGFxGuNQCXDEhEVYonQtDaaafM6LNDsfGMGmNxHhGSyi4Dp-oh_Mhjfx__2-QRyL5xT</recordid><startdate>20110401</startdate><enddate>20110401</enddate><creator>Bernoth, Kerstin</creator><creator>Pick, Andreas</creator><general>Elsevier B.V</general><general>Elsevier</general><general>Elsevier Sequoia S.A</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20110401</creationdate><title>Forecasting the fragility of the banking and insurance sectors</title><author>Bernoth, Kerstin ; Pick, Andreas</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c524t-2ec697c65bddf6c66532571a4a30f909127f6e2be945f3c4053bae8fdeddd5cb3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2011</creationdate><topic>Banking</topic><topic>Banking industry</topic><topic>Correlation</topic><topic>Correlation analysis</topic><topic>Economic models</topic><topic>Economic stability</topic><topic>Empirical research</topic><topic>Error correction models</topic><topic>Financial linkages</topic><topic>Financial stability</topic><topic>Financial stability Financial linkages Banking Insurances Unobserved common factors</topic><topic>Forecasting techniques</topic><topic>Insurance companies</topic><topic>Insurance industry</topic><topic>Insurances</topic><topic>Mean square errors</topic><topic>Studies</topic><topic>Unobserved common factors</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Bernoth, Kerstin</creatorcontrib><creatorcontrib>Pick, Andreas</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of banking & finance</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Bernoth, Kerstin</au><au>Pick, Andreas</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Forecasting the fragility of the banking and insurance sectors</atitle><jtitle>Journal of banking & finance</jtitle><date>2011-04-01</date><risdate>2011</risdate><volume>35</volume><issue>4</issue><spage>807</spage><epage>818</epage><pages>807-818</pages><issn>0378-4266</issn><eissn>1872-6372</eissn><coden>JBFIDO</coden><abstract>Linkages between banks and insurance companies are important when forecasting the fragility of the banking and insurance sectors. 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| identifier | ISSN: 0378-4266 |
| ispartof | Journal of banking & finance, 2011-04, Vol.35 (4), p.807-818 |
| issn | 0378-4266 1872-6372 |
| language | eng |
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| source | RePEc; Access via ScienceDirect (Elsevier) |
| subjects | Banking Banking industry Correlation Correlation analysis Economic models Economic stability Empirical research Error correction models Financial linkages Financial stability Financial stability Financial linkages Banking Insurances Unobserved common factors Forecasting techniques Insurance companies Insurance industry Insurances Mean square errors Studies Unobserved common factors |
| title | Forecasting the fragility of the banking and insurance sectors |
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