| Popis: |
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, verifying our findings by cross-sectional validation. Our results confirm that the standard credit gap indicator performs satisfactorily. In fact, we find that, in emerging market economies, it seems rather difficult to outperform this indicator by means of augmented multivariate models. Nevertheless, we have found that the robustness of real-time credit cycle determination may potentially be improved (although with a risk of overfitting the data) by simultaneously 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. |
