finwire indicators

finwire lead forecasts: core inflation pressure and impaired loans

Two finwire.pl statistical models. Presja kosztowa finwire (finwire_cost_pressure): NBP core inflation y/y in 6 and 12 months with an 80% interval, from a unit labour cost proxy (enterprise wages minus industrial output growth plus employment growth), producer prices (PPI), the 3-month EUR/PLN change and the distance of core inflation from the NBP 2.5% target. Stres kredytowy wyprzedzający finwire (finwire_npl_forecast): share of household housing loans and consumer loans with impairment (IFRS 9 Stage 3, KNF monthly banking sector data) in 2 and 4 quarters with an 80% interval, from the 12-month change in WIBOR 3M, the change in registered unemployment and the portfolio trend. Direct multi-step ridge regressions on a rolling window, intervals from out-of-sample errors. A forecast is published only when at least 70% of actual readings fell inside the 80% interval in the rolling backtest (at least 12 forecasts in the last 36 months); otherwise the numbers are withheld (published=false) and only the backtest statistics are returned. A model estimate for information, not investment advice.