Real-time determination of credit cycle phases in emerging markets
Elena Deryugina and
No wps17, Bank of Russia Working Paper Series from Bank of Russia
We test the ability of early warning indicators that appear in the literature to predict credit cycle peaks in a cross-section of emerging markets. Our results confirm that the standard credit gap indicator performs satisfactorily. The robustness of real-time credit cycle determination may potentially (and with a risk of overfitting the data) be improved by simultane-ously monitoring GDP growth, banks’ non-core liabilities, the financial sector’s value added and (to a lesser extent) the change in the debt service ratio.
Keywords: credit cycle; countercyclical capital buffers; early warning indicators; emerging markets. (search for similar items in EconPapers)
JEL-codes: E37 E44 E51 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-fdg, nep-mac and nep-pay
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Persistent link: https://EconPapers.repec.org/RePEc:bkr:wpaper:wps17
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