1 / 22

The Financial Crisis of 2007: Parametric and Non-Parametric Approaches

The Financial Crisis of 2007: Parametric and Non-Parametric Approaches. Stuart Brown. Project Description. Financial Crisis of 2007: how did the crisis play out statistically? Compare differences in the 4 U.S. Census Regions South, North East, West, Mid-West

trula
Download Presentation

The Financial Crisis of 2007: Parametric and Non-Parametric Approaches

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. The Financial Crisis of 2007: Parametric and Non-Parametric Approaches Stuart Brown

  2. Project Description • Financial Crisis of 2007: how did the crisis play out statistically? • Compare differences in the 4 U.S. Census Regions • South, North East, West, Mid-West • Consumer Sentiment: what effect economic variables had during the crisis

  3. Financial Crises • Characteristics of Crisis: • Drop in Asset Prices, Financial Firm Failures, Flight to Liquidity and Low Risk, Difficulty Obtaining Credit • Precursors: • Asset Price Bubble/Leverage Buildup • Real estate, Stock Prices • Debt Buildup • Factors • Innovation and Liberalization, Credit Booms • Asset Price Boom and Bust

  4. Variations Across Regions • 4 U.S. Census Regions • South, NE, West, Mid-West • Variables Of Note: • Housing Starts • Unemployment • Labor Force • Hires • Openings • Housing Prices

  5. Housing Starts

  6. Unemployment

  7. Labor Force

  8. Hires

  9. Openings

  10. Housing Sales Price

  11. One Way ANOVA vs. Kruskall-Wallis • Null Hypotheses: No treatment effects, all Tau’s are Equal • General Alternative: Not all Tau’s are equal • T1=South • T2=NE • T3=W • T4=MW

  12. Conclusions: • Kruskall-Wallis Procedure: • Conclude not all Tau’s equal for • Housing Starts, Labor Force, Hires, Openings, Sale Price • No Diff: Unemployment Same conclusions found when using One-Way ANOVA

  13. Housing Starts • Multiple Comparisons K-W • NE-MW, MW-W • Tukey-Kramer Multiple Comparisons

  14. Unemployment • KW: • No Diffs • Tukey-Kramer

  15. Labor Force • KW • All significantly different • Tukey-Kramer

  16. Hires • KW • Not Different: Midwest and West • Tukey-Kramer

  17. Openings • KW: • Sig Diffs: NE-W, NE-S, MW-S, W-S • Tukey-Kramer

  18. Housing Prices • KW: • Sig Diffs: NE-MW, NE-S, MW-W, W-S • Tukey-Kramer:

  19. Associations: Consumer Sentiment • Variables “associated” with Consumer Sentiment: • Consumer Price Index • Total Consumer Credit • Unemployment • S&P 500 Index • Personal Consumption Expenditure • M2 Money Stock • Housing Starts • Labor Force • Disposable Personal Income • Home Price Index

  20. Kendall and Pearson Test Conclusions • CPI: significant association (-) • Total Consumer Credit: significant association (-) • Unemployment: no significant association • S&P 500: Significant association (+) • Personal Consumption Exp: no significant association • M2 Money Stock: Significant association (-) • Housing Starts: Significant association (+) • Labor Force: Significant association (-) • Income: significant association* (-) (Pearson test shows no association) • Home Price Index: Significant association (+)

  21. General Regression

  22. General Regression 2

More Related