Identifying excessive credit growth and leverage
Unsustainable credit developments lead to the build-up of systemic risks to financial stability. While this is an accepted truth, how to
assess whether risks are getting out of hand remains a challenge. To identify excessive credit growth and aggregate leverage we propose an
early warning system, which aims at predicting banking crises. In particular, we use a modern classification tree ensemble technique, the
“Random Forest”, and include (global) credit as well as real estate variables as predictors.
ALESSI Lucia;
DETKEN Carsten;
2017-12-05
ELSEVIER SCIENCE INC
JRC106988
1572-3089,
http://www.sciencedirect.com/science/article/pii/S1572308917304291,
https://publications.jrc.ec.europa.eu/repository/handle/JRC106988,
10.1016/j.jfs.2017.06.005,
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