Title: Identifying excessive credit growth and leverage
Authors: ALESSI LUCIADETKEN CARSTEN
Citation: JOURNAL OF FINANCIAL STABILITY vol. 35 p. 215-225
Publisher: ELSEVIER SCIENCE INC
Publication Year: 2018
JRC N°: JRC106988
ISSN: 1572-3089
URI: http://www.sciencedirect.com/science/article/pii/S1572308917304291
http://publications.jrc.ec.europa.eu/repository/handle/JRC106988
DOI: 10.1016/j.jfs.2017.06.005
Type: Articles in periodicals and books
Abstract: 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.
JRC Directorate:Growth and Innovation

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