| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16519 |
| DP16519 Measuring credit procyclicality: a new database | |
| Anne-Laure Delatte; Vincent Bouvatier; Pierre-Nicolas Rehault | |
| 发表日期 | 2021-09-06 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | Today, the data available to estimate the credit cycle involve a trade-off between country coverage and frequency. In addition, there are pending methodological issues to estimate credit trend and cyclical components. To address these limits, we build a new database on credit metrics that relaxes the trade-off and includes credit procyclicality measures along three alternative methods- HP filter, the modified HP filter and basic SSA. The credit gaps in our database are statistically consistent with bank credit gaps estimated with BIS data and they have the advantage of being available for 163 countries instead of 43 countries. Armed with this new and expanded data, we revisit classic empirical questions in the literature. |
| 主题 | International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Credit cycle Credit gap Cross-countries comparison Credit booms Global financial cycle Hodrick-prescott Singular spectrum analysis |
| URL | https://cepr.org/publications/dp16519 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545474 |
| 推荐引用方式 GB/T 7714 | Anne-Laure Delatte,Vincent Bouvatier,Pierre-Nicolas Rehault. DP16519 Measuring credit procyclicality: a new database. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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