Working Paper: CEPR ID: DP16519
Authors: Annelaure Delatte; Vincent Bouvatier; Pierre Nicolas Rehault
Abstract: 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.
Keywords: credit cycle; credit gap; cross-countries comparison; credit booms; global financial cycle; Hodrick-Prescott; singular spectrum analysis
JEL Codes: E32; E51; F42
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| newly constructed database on credit metrics (G21) | robustness of empirical analyses in the literature (C51) |
| credit gaps estimated within three alternative methodologies (C13) | interpretation of credit gaps (E51) |
| economic conditions (E66) | frequency of credit booms (E32) |
| credit gaps (F65) | banking crises (G01) |