estimates. -- Credit risk ; Bank loans ; Loss given default ; Forecasting …

This paper contributes to the literature on the properties of money and credit indicators for detecting asset price … several macroeconomic monetary, financial and real variables. According to statistical tests, credit aggregates (either in …

content of simple leading indicators, and to investigate potential non-linearity in credit dynamics. This framework is applied … difficulties to accurately predict the right credit dynamics regimes. A simple VAR model finally performs better …