International credit cycles: a regional perspective

Mikhail Stolbov

MPRA Paper from University Library of Munich, Germany

Abstract: I use credit/GDP ratio to construct stylized credit cycles at global and regional levels over 1980-2010. Their average duration is between 12 and 15 years and for all the regions there is “a ceiling” and “a floor” curbing the amplitude of credit cycles. They are also largely interconnected, with the US credit cycle being the most influential and autonomous at the same time. The relationship between credit cycles and intensity of banking crises is also discussed. It appears that the regions exerting predominant influence over their counterparts and having a higher number of total connections at the same time experience fewer banking crises.

Keywords: credit cycle; banking crisis; net spill-over index; Hodrick-Prescott filter; Poisson regression; macro-prudential regulation (search for similar items in EconPapers)
JEL-codes: E50 F37 G15 (search for similar items in EconPapers)
Date: 2012-03-29
New Economics Papers: this item is included in nep-ban
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: International Credit Cycles: A Regional Perspective (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:37773

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