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When are credit gap estimates reliable?

Elena Deryugina, Alexey Ponomarenko and Anna Rozhkova (rozhkovaam@cbr.ru)
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Anna Rozhkova: Bank of Russia, Russian Federation

No wps34, Bank of Russia Working Paper Series from Bank of Russia

Abstract: We evaluate the reliability of credit gap measures estimated over time samples of different lengths. We augment our empirical analysis (which turned out to be somewhat inconclusive) with Monte Carlo experiments. For this purpose we build an agent-based model that realistically reproduces credit cycles and use it to generate the artificial data set. We found that 12-15 years of available data is sufficient for the estimation of reliable credit gaps (i.e. the reliability of credit gap estimates will not improve substantially as more data are added to the sample).

Keywords: credit gap; credit cycle; countercyclical capital buffer; agent-based models (search for similar items in EconPapers)
JEL-codes: C63 E37 E44 E51 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2018-07
New Economics Papers: this item is included in nep-cmp and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: When are credit gap estimates reliable? (2020) Downloads
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