parametrize it to fit actually observed data. The model is used to make out-of-sample projections of broad money and credit …

into an early-warning model to predict bank distress among European banks. We use multivariate extreme value theory to …

In this paper, we investigate the growing prominence of credit in the systemic banking crisis prediction literature … of the absolute change in credit-to-GDP ratio as an early warning system indicator of systemic banking crises. The … findings reveal that the accelerated financialisation of economies turns the excess supply of credit into generating conditions …

This paper investigates the role of bank credit in predicting U.S. recessions since the 1960s in the context of a … bivariate probit model. A set of results emerge. First, credit booms are shown to have strong positive effects in predicting … declines in the business cycle at horizons ranging from six to nine months. Second, I propose to isolate the effect of credit …