IESET.
Hypotheses·monetary·private_credit_growth_crisis_predictor_oecd

Following Schularick-Taylor 2012 and Jorda-Schularick-Taylor, the five-year change in private credit-to-GDP is a leading indicator of subsequent financial-sector distress in the OECD post-1980 panel.

The post-Keynesian / Minsky reading interprets this as evidence of endogenous credit-cycle dynamics not captured in real-business-cycle or fundamentals-based crisis models. The hypothesis tests, in an OECD post-1980 panel, whether the BIS five-year private-credit change predicts subsequent financial-sector distress (proxied by WDI bank non-performing loan ratio FS.AST.PRVT.GD.ZS distress threshold or Laeven-Valencia onset), with predictive AUC at least 0.7 and the coefficient surviving conditioning on the standard fundamentals control set.

PARTIALengine/runs/private_credit_growth_crisis_predictor_oecd

PARTIAL — coef=+0.1353, p=0.51 (above α=0.1); direction inconclusive

confidence cueThe result is useful, but not decisive. Treat it as a clue, not a settled conclusion.

policy briefMixed or noisy

In ordinary language

In plain terms, this asks whether private credit income 5y change is actually linked to better or worse financial distress indicator from 1980 to 2020.

plain answer

The evidence is suggestive but not decisive. coef=+0.1353, p=0.51 (above α=0.1); direction inconclusive

why it matters

This matters because monetary claims should change belief only when they survive a pre-declared empirical test.

how the test works

It compares 23 country or place units from 1980 to 2020, using a panel fe design, with fixed effects for country.

what was measured
What changed
  • Private credit income 5y change
  • Private credit income level
What we checked
  • Financial distress indicator
  • Laeven valencia banking crisis indicator
what this does not prove

A single test is not the whole truth. It narrows the claim under a specific sample, time period, and method. Strong policy conclusions need the pattern to survive nearby tests, alternative data, and serious objections.

verification

No evidence packet has been generated yet.

Results

engine/runs/private_credit_growth_crisis_predictor_oecd
1007550250198020002020USAGBRFRADEUITAESPNLD
illustrative sketch · run pending
No coefficients yet. When the model fires, this chart will show financial_distress_indicator across 23 sampled countries over 1980–2020.
The shapes above are stylised — none of the lines are real data.
Placeholder for private_credit_growth_crisis_predictor_oecd. Published chart will be generated from engine/runs/private_credit_growth_crisis_predictor_oecd/chart_data.json.

Pre-registration

registration ordering unverified
first-spec commit 4c8ce8e · 2026-07-18T22:11:21Z
run generated · 2026-06-29T17:54:23Z
Run timestamp predates this path's first git-add commit (rebase, rename, or pre-git local run). Spec hash is still the path's first-add commit — not repository HEAD — but ordering is not a clean pre-registration proof.

Following Schularick-Taylor 2012 and Jorda-Schularick-Taylor, the five-year change in private credit-to-GDP is a leading indicator of subsequent financial-sector distress in the OECD post-1980 panel. The post-Keynesian / Minsky reading interprets this as evidence of endogenous credit-cycle dynamics not captured in real-business-cycle or fundamentals-based crisis models. The hypothesis tests, in an OECD post-1980 panel, whether the BIS five-year private-credit change predicts subsequent financial-sector distress (proxied by WDI bank non-performing loan ratio FS.AST.PRVT.GD.ZS distress threshold or Laeven-Valencia onset), with predictive AUC at least 0.7 and the coefficient surviving conditioning on the standard fundamentals control set.

Falsification criterion — what would disprove this

set before the run · honoured after

This hypothesis is considered falsified if:

Not supported if (a) the coefficient on private-credit-GDP five- year change is statistically zero or negative as a distress predictor (p > 0.10), OR (b) AUC of credit-change as predictor is below 0.65 (Schularick-Taylor JST baseline implies AUC ~0.70- 0.75 in their sample), OR (c) the predictive power is fully subsumed by current-account-balance change (an open-economy fundamentals-based reading would predict CA dynamics dominate credit dynamics as a crisis predictor).

formal test & threshold
test:      panel_logit_credit_change_distress_predictor_with_auc_threshold
threshold: coef(private_credit_change) > 0 at p < 0.10 AND AUC of credit-change >= 0.65 AND incremental AUC over CA-deficit alone >= 0.05

Method

Template
panel_fe
Fixed effects
country
Clustering
country
Sample
23 countries · 1980 – 2020
Evidence type
associational

Panel logit / linear-probability regression of distress indicator on lagged five-year private-credit-GDP change with macro controls. Country FE only. Cross-validated against the Schularick-Taylor / JST long-run sample. Report ROC-curve AUC for credit-change against alternatives; out-of-sample predictive evaluation by holding out 2008-2010 from training.

Data

VariableSourceTransform
financial_distress_indicator
outcome
world_bank_wdi:FS.AST.PRVT.GD.ZStier 2
distress_threshold
laeven_valencia_banking_crisis_indicator
outcome
bis:WS_CREDIT_GAPtier 2
indicator
private_credit_gdp_5y_change
treatment
bis:WS_CREDIT_GAPtier 2
diff_5y
private_credit_gdp_level
treatment
bis:WS_CREDIT_GAPtier 2
level
real_gdp_growth_5y_avg
control
world_bank_wdi:NY.GDP.MKTP.KD.ZGtier 2
avg_5y
current_account_balance_gdp
control
world_bank_wdi:BN.CAB.XOKA.GD.ZStier 2
level
short_term_interest_rate
control
oecd:OECD.SDD.STEStier 2
level
real_house_price_5y_change
control
bis:WS_SPPtier 2
diff_5y
log_population
control
world_bank_wdi:SP.POP.TOTLtier 2
log

● ready  · ● pending  · ● reconstruct-needed

Detailed result card

Result card — private_credit_growth_crisis_predictor_oecd

Verdict: PARTIAL — coef=+0.1353, p=0.51 (above α=0.1); direction inconclusive

Pre-registration

  • Claim: Following Schularick-Taylor 2012 and Jorda-Schularick-Taylor, the five-year change in private credit-to-GDP is a leading indicator of subsequent financial-sector distress in the OECD post-1980 panel. The post-Keynesian / Minsky reading interprets this as evidence of endogenous credit-cycle dynamics not captured in real-business-cycle or fundamentals-based crisis models. The hypothesis tests, in an OECD post-1980 panel, whether the BIS five-year private-credit change predicts subsequent financial-sector distress (proxied by WDI bank non-performing loan ratio FS.AST.PRVT.GD.ZS distress threshold or Laeven-Valencia onset), with predictive AUC at least 0.7 and the coefficient surviving conditioning on the standard fundamentals control set.
  • Falsification rule: Not supported if (a) the coefficient on private-credit-GDP five- year change is statistically zero or negative as a distress predictor (p > 0.10), OR (b) AUC of credit-change as predictor is below 0.65 (Schularick-Taylor JST baseline implies AUC ~0.70- 0.75 in their sample), OR (c) the predictive power is fully subsumed by current-account-balance change (an open-economy fundamentals-based reading would predict CA dynamics dominate credit dynamics as a crisis predictor).
  • Falsification test: panel_logit_credit_change_distress_predictor_with_auc_threshold

Estimate

  • Method: linearmodels.PanelOLS
  • Coefficient (treatment): +0.1353
  • Std error: 0.2051
  • p-value: 0.51
  • Observations: 386, countries: 17
  • Within R²: 0.498
  • Fixed effects: entity=True, time=False
  • Clustering: country

Variables resolved

  • world_bank_wdi:FS.AST.PRVT.GD.ZS → financial_distress_indicator (outcome, publisher=world_bank_wdi, n=9562)
  • bis:WS_CREDIT_GAP → laeven_valencia_banking_crisis_indicator (outcome, publisher=bis, n=1914)
  • bis:WS_CREDIT_GAP → private_credit_gdp_5y_change (treatment, publisher=bis, n=1914)
  • bis:WS_CREDIT_GAP → private_credit_gdp_level (treatment, publisher=bis, n=1914)
  • world_bank_wdi:NY.GDP.MKTP.KD.ZG → real_gdp_growth_5y_avg (controls, publisher=world_bank_wdi, n=13897)
  • world_bank_wdi:BN.CAB.XOKA.GD.ZS → current_account_balance_gdp (controls, publisher=world_bank_wdi, n=7621)
  • bis:WS_SPP → real_house_price_5y_change (controls, publisher=bis, n=2272)
  • world_bank_wdi:SP.POP.TOTL → log_population (controls, publisher=world_bank_wdi, n=14447)

Variables missing data

  • oecd:OECD.SDD.STES,DSD_KEI@DF_KEI,4.0 (controls, name=short_term_interest_rate) — vintage not on disk

Generated by scripts/run_panel_fe.py at 2026-06-29T17:54:23+00:00

Strongest opposing argument

Every hypothesis ships with its charitable opposing argument. The framework earns credibility by handling objections at their strongest, not weakest.

Notes

Candidate, not pre_registered. On promotion, confirm BIS WS_CREDIT dataflow URN, secure registered fetcher for Laeven-Valencia banking-crises database, and pin the AUC threshold using Schularick-Taylor JST benchmark.

Authored framework. Read the transparency note.