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|Title:||Identifying excessive credit growth and leverage|
|Authors:||ALESSI LUCIA; DETKEN CARSTEN|
|Citation:||JOURNAL OF FINANCIAL STABILITY vol. 35 p. 215-225|
|Publisher:||ELSEVIER SCIENCE INC|
|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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