期刊名称：DIW Diskussionspapiere / Deutsches Institut für Wirtschaftsforschung, Berlin
出版年度：2009
卷号：2009
出版社：Deutsches Institut für Wirtschaftsforschung, Berlin
摘要：This paper considers the issue of forecasting financial fragility of banks and
insurances using a panel data set of performance indicators, namely distance-to-
default, taking unobserved common factors into account. We show that common
factors are important in the performance of banks and insurances, analyze the
influences of a number of observable factors on banking and insurance
performance, and evaluate the forecasts from our model. We find that taking
unobserved common factors into account reduces the the root mean square
forecasts error of firm specific forecasts by up to 11% and of system forecasts
by up to 29% relative to a model based only on observed variables. Estimates of
the factor loadings suggest that the correlation of financial institutions has
been relatively stable over the forecast period.
关键词：Financial stability, financial linkages, banking, insurances, unobserved common
factors, forecasting
