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Since the late 1960s, the rising volatility of financial markets in the US has troubled econometricians and bank managers alike. Both professions have found it increasingly difficult to forecast savings deposit flows. This article explores these challenges by focusing on two developments. First,...
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estimates. -- Credit risk ; Bank loans ; Loss given default ; Forecasting …
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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 …
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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 …
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