Atypical behavior of credit: evidence from a monetary VAR

  • 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.

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Metadaten
Author:Elena AfanasyevaORCiDGND
URN:urn:nbn:de:hebis:30:3-305838
URL:http://www.imfs-frankfurt.de/fileadmin/user_upload/pdf/wp_70.pdf
Parent Title (German):Working paper series / Institute for Monetary and Financial Stability ; 70
Series (Serial Number):Working paper series / Institute for Monetary and Financial Stability (70)
Publisher:Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability
Place of publication:Frankfurt am Main
Document Type:Working Paper
Language:English
Year of Completion:2013
Year of first Publication:2013
Publishing Institution:Universit├Ątsbibliothek Johann Christian Senckenberg
Release Date:2013/06/28
Tag:Bayesian VAR; Conditional Forecasts; Credit
Page Number:44 S.
Note:
Preliminary and Incomplete. First Version: September 30, 2011. This Version: April 14, 2013
HeBIS-PPN:347211070
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / Institute for Monetary and Financial Stability (IMFS)
Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
JEL-Classification:C Mathematical and Quantitative Methods / C1 Econometric and Statistical Methods: General / C11 Bayesian Analysis
C Mathematical and Quantitative Methods / C1 Econometric and Statistical Methods: General / C13 Estimation
C Mathematical and Quantitative Methods / C5 Econometric Modeling / C53 Forecasting and Other Model Applications
Sammlungen:Universit├Ątspublikationen
Licence (German):License LogoDeutsches Urheberrecht