Credit growth, the yield curve and financial crisis prediction: evidence from a machine learning approach
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- 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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"Answering the Queen: Machine Learning and Financial Crises,"
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- Hyeongwoo Kim & Wen Shi, 2016. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-15, Department of Economics, Auburn University.
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- Hyeongwoo Kim & Wen Shi, 2018. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2018-07, Department of Economics, Auburn University.
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"Random forest versus logit models: Which offers better early warning of fiscal stress?,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 455-490, April.
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- Buckmann, Marcus & Haldane, Andy & Hüser, Anne-Caroline, 2021. "Comparing minds and machines: implications for financial stability," Bank of England working papers 937, Bank of England.
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- Tamás Kristóf, 2021. "Sovereign Default Forecasting in the Era of the COVID-19 Crisis," JRFM, MDPI, vol. 14(10), pages 1-24, October.
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More about this item
Keywords
Machine learning; financial crisis; 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2020-02-03 (Big Data)
- NEP-CMP-2020-02-03 (Computational Economics)
- NEP-FDG-2020-02-03 (Financial Development & Growth)
- NEP-GTH-2020-02-03 (Game Theory)
- NEP-MAC-2020-02-03 (Macroeconomics)
- NEP-MON-2020-02-03 (Monetary Economics)
- NEP-RMG-2020-02-03 (Risk Management)
Statistics
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