Online machine learning can warn of impending crisis – Hélène Rey
Approach avoids some of the pitfalls of other methods, the economics professor says
Online machine learning holds promise as a means of detecting impending crises early enough to take action, economist Hélène Rey says.
“Macro-prudential authorities in some cases have to take action to increase buffers two years before the problem arises,” Rey says in a recent interview with Central Banking. “So, you need a framework for early warning indicators.”
The online approach has been applied more widely in the machine learning literature, where the “true” model of the underlying data
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