Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/128613
Authors: 
Ward, Felix
Year of Publication: 
2014
Series/Report no.: 
Bonn Econ Discussion Papers 01/2014
Abstract: 
To improve the detection of the economic 'danger zones' from which severe banking crises emanate, this paper introduces classification tree ensembles to the banking crisis forecasting literature. I show that their out-of-sample performance in forecasting binary banking crisis indicators surpasses current best-practice early warning systems based on logit models by a substantial margin. I obtain this result on the basis of one long-run- (1870-2011), as well as two broad post-1970 macroeconomic panel datasets. I particularly show that two marked improvements in forecasting performance result from the combination of many classification trees into an ensemble, and the use of many predictors.
Document Type: 
Working Paper

Files in This Item:
File
Size
950.15 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.