Identifying excessive credit growth and leverage

Journal of Financial Stability, 2018, vol. 35, issue C, 215-225

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.

Keywords: Early warning systems; Banking crises; Credit; Macroprudential policy; Decision trees (search for similar items in EconPapers)
JEL-codes: C40 E44 E61 G01 G21 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (113)

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Related works:
Journal Article: Identifying Excessive Credit Growth and Leverage (2014)
Working Paper: Identifying excessive credit growth and leverage (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finsta:v:35:y:2018:i:c:p:215-225

DOI: 10.1016/j.jfs.2017.06.005

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