Credit growth, the yield curve and financial crisis prediction: Evidence from a machine learning approach
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DOI: 10.1016/j.jinteco.2023.103773
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- Bluwstein, Kristina & Buckmann, Marcus & Joseph, Andreas & Kang, Miao & Kapadia, Sujit & Simsek, Özgür, 2020. "Credit growth, the yield curve and financial crisis prediction: evidence from a machine learning approach," Bank of England working papers 848, Bank of England.
- Bluwstein, Kristina & Buckmann, Marcus & Joseph, Andreas & Kapadia, Sujit & Şimşek, Özgür, 2021. "Credit growth, the yield curve and financial crisis prediction: evidence from a machine learning approach," Working Paper Series 2614, European Central Bank.
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More about this item
Keywords
Machine learning; Financial crises; Financial stability; Credit growth; Yield curve; Shapley values; Out-of-sample prediction;All these keywords.
JEL classification:
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- F30 - International Economics - - International Finance - - - General
- G01 - Financial Economics - - General - - - Financial Crises
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