International credit cycles: a regional perspective
| Autor: | Mikhail Stolbov |
|---|---|
| Rok vydání: | 2012 |
| Předmět: |
Macroeconomics
Stylized fact Average duration jel:E50 Perspective (graphical) Monetary economics credit cycle banking crisis net spill-over index Hodrick-Prescott filter Poisson regression macro-prudential regulation jel:F37 jel:G15 Hodrick–Prescott filter Economics Credit cycle Credit crunch Credit valuation adjustment |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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