Dear Colleagues, I wish all of you are fine.
I wan to measure/calculate speculation in commercial banks' return and commercial banks' lending. Which variables would be better for representing these speculations and which statistical or econometric techniques would be suitable.
I would look at how does the lending rate of a particular bank differ from average lending rate. High lending rate probably means taht bank is lending money to risky customers.
a question would be whether it is indeed possible to forward measure speculation - to measure it ahistorically. it would then be a form of forecast. it may only be measurable retrospectively.
i think the best way to measure it, is to measure risk or risk exposure. this would be similar to stress testing.
so, critique present stress testing and find a more accurate measure/ stress test.
Thanks guys for your valuable inputs. Can you recommend a research paper or study so that I could look into methodology?
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