Haku

The trend deviation of the Credit-to-GDP ratio (“Basel gap”) is a widely used early warning indicator of banking crises. It is calculated with the one-sided Hodrick-Prescott filter using an extremely large value of the ...

We consider predicting systemic financial crises one to five years ahead using recurrent neural networks. The prediction performance is evaluated with the Jorda-Schularick-Taylor dataset, which includes the crisis dates ...