Bericht
Banking crisis prediction with differenced relative credit
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.
- Language
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Englisch
- Bibliographic citation
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Series: BoF Economics Review ; No. 4/2019
- Classification
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Wirtschaft
Financial Crises
Financial Forecasting and Simulation
Financial Institutions and Services: Government Policy and Regulation
- Subject
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banking crises
early warning indicators
differenced relative credit
credit intensity
countercyclical capital buffer
- Event
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Geistige Schöpfung
- (who)
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Kauko, Karlo
Tölö, Eero
- Event
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Veröffentlichung
- (who)
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Bank of Finland
- (where)
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Helsinki
- (when)
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2019
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Bericht
Associated
- Kauko, Karlo
- Tölö, Eero
- Bank of Finland
Time of origin
- 2019
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