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Boom de crédito en Uruguay: Identificación y Anticipación

María Landaberry ()

No 2019001, Documentos de trabajo from Banco Central del Uruguay

Abstract: In this paper we review the most used methodologies for the identification of credit boom episodes as ex post identification threshold techniques that can be used to identify episodes in Uruguay between 1985 and 2018. We estimate a Bayesian Model Average (BMA) that allows the identification and early prediction of credit booms based on the interrelation between these episodes and the macroeconomic aggregates. Considering the evolution of GDP, private consumption, investment, public spending, imports, exports, the exchange rate, the terms of trade, the current account and the capital account and financial information as a percentage of GDP, it is possible to determine the probability of being in an episode of credit boom up to two quarters in advance. Following this methodology, 3 episodes are identified, from the second quarter of 2000 to the first quarter of 2003, from the fourth quarter of 2008 to the second quarter of 2010 and from the second quarter of 2012 to the third quarter of 2015.

Keywords: Early warning indicator; Credit Booms; financial stability; Uruguay; indicadores de alerta temprana; Boom de Crédito; estabilidad financiera (search for similar items in EconPapers)
JEL-codes: E32 E37 R21 R31 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2019
New Economics Papers: this item is included in nep-fdg and nep-mac
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