TY  - UNPD
A1  - Afanasyeva, Elena
T1  - Atypical behavior of credit: evidence from a monetary VAR
T2  - Working paper series / Institute for Monetary and Financial Stability ; 70
N2  - Credit boom detection methodologies (such as threshold method) lack robustness as they are based on univariate detrending analysis and resort to ratios of credit to real activity. I propose a quantitative indicator to detect atypical behavior of credit from a multivariate system - a monetary VAR. This methodology explicitly accounts for endogenous interactions between credit, asset prices and real activity and detects atypical credit expansions and contractions in the Euro Area, Japan and the U.S. robustly and timely. The analysis also proves useful in real time.
T3  - Working paper series / Institute for Monetary and Financial Stability - 70 
KW  - Credit
KW  - Bayesian VAR
KW  - Conditional Forecasts
Y1  - 2013
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/30583
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-305838
UR  - http://www.imfs-frankfurt.de/fileadmin/user_upload/pdf/wp_70.pdf
N1  - Preliminary and Incomplete. First Version: September 30, 2011. This Version: April 14, 2013
PB  - Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability
CY  - Frankfurt am Main
ER  -