Séminaire KTO-GREDEG-OFCE - Jérémy Fouliard (London Business School)

"Answering the Queen : online machine learning and financial crises"
Quand ? Le 06-12-2018,
de 14:00 à 15:30
Où ? Salle Picasso - GREDEG
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Séminaire GREDEG

Jérémy Fouliard (London Business School)

Abstract : Predicting systemic financial crises has been elusive. It is however a key input for macro prudential policy. We consider the framework of sequential predictions to predict systemic financial crises in a panel of 18 countries. We average optimally with time varying country-specific weights around 3 millions models per country using 4 types of aggregation rules. We can predict systemic crisis periods 3 years in advance out-of-sample with remarkable accuracy. We report for each country the subset of variables that appear the most frequently in our best forecasting models in order to know the forecasting power of each economic variable.