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Credit Booms Gone Bust: Replication of Schularick and Taylor (AER 2012) (repl...
This paper replicates the results in Schularick and Taylor (American Economic Review 2012; 102(2): 1029-1061; ST hereafter). Specifically, I replicate ST's results in the narrow... -
Spotting the Danger Zone: Forecasting Financial Crises With Classification Tr...
This paper introduces classification tree ensembles (CTEs) to the banking crisis forecasting literature. I show that CTEs substantially improve out-of-sample forecasting... -
Bubbles and Crises: The Role of House Prices and Credit (replication data)
This paper utilizes quarterly panel data for 20 OECD countries over the period 1975:Q1-2014:Q2 to explore the importance of house prices and credit in affecting the likelihood... -
Bayesian Graphical Models for STructural Vector Autoregressive Processes (rep...
This paper proposes a Bayesian, graph-based approach to identification in vector autoregressive (VAR) models. In our Bayesian graphical VAR (BGVAR) model, the contemporaneous... -
Unravelling financial market linkages during crises (replication data)
An empirical model of multiple asset classes across countries is formulated in a latent factor framework. A special feature of the model is that financial market linkages during... -
The emerging market crisis and stock market linkages: further evidence (repli...
This study examines the long-run price relationship and the dynamic price transmission among the USA, Germany, and four major Eastern European emerging stock markets, with... -
Transient fads and the crash of ′87 (replication data)
Using a fad model with Markov-switching heteroscedasticity in both the fundamental and fad components (UC-MS model), this paper examines the possibility that the 1987 stock...
