Identifying excessive credit growth and leverage

被引：116

作者：

Alessi, Lucia ^{[1
]}

Detken, Carsten ^{[2
]}

机构：

[1] European Commiss, Joint Res Ctr, Via Enrico Fermi 2749, I-21027 Ispra, VA, Italy

[2] European Cent Bank, Sonnemannstr 22, D-60314 Frankfurt, Germany

来源：

JOURNAL OF FINANCIAL STABILITY | 2018年 / 35卷

关键词：

Early warning systems; Banking crises; Credit; Macroprudential policy; Decision trees; CRISES; BANKING;

D O I：

10.1016/j.jfs.2017.06.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2017 The Author( s). Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons,org/licenses/by/4.0/).

引用

页码：215 / 225

页数：11

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