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Real-time determination of credit cycle phases in emerging markets

Elena Deryugina and Alexey Ponomarenko

No wps17, Bank of Russia Working Paper Series from Bank of Russia

Abstract: 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
Date: 2017-01
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