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Finance and Economics Discussion Series: Can Macro Variables Used in Stress Testing Forecast the Performance of Banks
Paperback
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ISBN10: 1288699182
ISBN13: 9781288699186
Publisher: Bibliogov
Published: Feb 4 2013
Pages: 34
Weight: 0.18
Height: 0.07 Width: 7.44 Depth: 9.69
Language: English
ISBN13: 9781288699186
Publisher: Bibliogov
Published: Feb 4 2013
Pages: 34
Weight: 0.18
Height: 0.07 Width: 7.44 Depth: 9.69
Language: English
When stress tests for the banking sector use a macroeconomic scenario, an unstated premise is that macro variables should be useful factors in forecasting the performance of banks. We assess whether variables such as the ones included in stress tests for U.S. bank holding companies help improve out of sample forecasts of chargeoffs on loans, revenues, and capital measures, relative to forecasting models that exclude a role for macro factors. Using only public data on bank performance, we find the macro variables helpful, but not for all measures. Moreover, even our best-performing models imply bands of uncertainty around the forecasts so large as to make it challenging to distinguish the implications of alternative macro scenarios.
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