Banking crisis prediction with differenced relative credit

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dc.contributor Bank of Finland
dc.contributor.author Kauko, Karlo
dc.contributor.author Tölö, Eero
dc.date.accessioned 2019-06-06T08:26:30Z
dc.date.available 2019-06-06T08:26:30Z
dc.date.issued 2019
dc.identifier.uri https://helda.helsinki.fi/bof/handle/123456789/16158
dc.description.abstract Indicators based on the ratio of credit to GDP have been found to be highly useful predictors of banking crises. We study the difference in this ratio as an early warning indicator. We test a large number of different versions of the differenced credit-to-GDP ratio with data on Euro area members. The optimal time interval of the difference is about two years. Using the moving average of GDP instead of the latest annual data has little impact on forecasting performance. The indicator is a particularly promising choice at relatively short forecasting horizons, such as two or three years.
dc.format.extent 16
dc.language.iso ENG
dc.rights https://helda.helsinki.fi/bof/copyright
dc.subject.other banking crises
dc.subject.other early warning indicators
dc.subject.other differenced relative credit
dc.subject.other credit intensity
dc.subject.other countercyclical capital buffer
dc.title Banking crisis prediction with differenced relative credit
dc.type Paper
dc.identifier.urn URN:NBN:fi:bof-201906061225
dc.subject.jel G01
dc.subject.jel G17
dc.subject.jel G28
dc.series.name BoF Economics Review
dc.series.year 2019
dc.series.number 4/2019
dc.series.sortingnumber 0004
dc.date.publication 6.6.2019
dc.subject.yso pankkikriisit
dc.subject.yso indikaattorit
dc.subject.yso luotot
dc.subject.yso pääoma
dc.subject.yso euroalue
dc.subject.yso ennusteet
dc.subject.yso pankit
bof-internal.includedInCRIS 1
dc.type.okm D4

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