The Interdependence between Credit and Real Business Cycles in Latin American Economies

José Eduardo Gómez G. (), Jair Ojeda-Joya, Fernando Tenjo Galarza () and Hector Zarate-Solano
Authors registered in the RePEc Author Service: Jose Gomez-Gonzalez

Borradores de Economia from Banco de la Republica de Colombia

Abstract: In this document we estimate credit and GDP cycles for three Latin-American economies and study their relation in the time and frequency domains. Cycles are estimated in order to analyze their medium and short-term frequencies. We find that short-term cycles are usually more volatile than medium-term cycles for credit and GDP in Chile, Colombia and Peru. We also find that credit-cycle peaks in the middle 1990s and middle 2000s precede notable GDP recessions 2 or 3 years later in these countries. Additionally, credit cycles in Latin-American economies tend to cause later movements in economic activity. This effect can be decomposed into two components: first, a negative effect in the case of business-cycle frequencies, and a positive effect in the case of medium-term GDP fluctuations.

Keywords: Short and Medium-Term Cycles; Frequency Domain; Granger Causality; Credit Booms and Crunches; Recession. (search for similar items in EconPapers)
JEL-codes: C32 E32 E44 (search for similar items in EconPapers)
Pages: 27
Date: 2013-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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https://doi.org/10.32468/be.768 (application/pdf)

Related works:
Working Paper: The Interdependence between Credit and Real Business Cycles in Latin American Economies (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:768

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