ECB paper emphasises importance of time horizons for early-warning models
Selection of a particular time horizon can have ‘considerable implications’
The selection of a particular time horizon can have "considerable implications" for the performance and behaviour of models used for predicting banking crises, according to research published by the European Central Bank (ECB).
The working paper, Shifting horizons: assessing macro trends before, during and following systemic banking crises, by Carl Jan Willem Schudel, assesses the trends of various macroeconomic and macro-financial variables surrounding banking crisis across different time
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