Arbeitspapier

Semi-structural credit gap estimation

This paper proposes a semi-structural approach to identifying excessive household credit developments. Using an overlapping generations model, a normative trend level for the real household credit stock is derived that depends on four fundamental economic factors: real potential GDP, the equilibrium real interest rate, the population share of the middle-aged cohort, and institutional quality. Semi-structural household credit gaps are obtained as deviations of the real household credit stock from this fundamental trend level. Estimates of these credit gaps for 12 EU countries over the past 35 years yield long credit cycles that last between 15 and 25 years with amplitudes of around 20%. The early warning properties for financial crises are superior compared to credit gaps that are obtained from purely statistical filters. The proposed semistructural household credit gaps could therefore provide useful information for the formulation of countercyclical macroprudential policy, especially because they allow for economic interpretation of observed credit developments.

ISBN
978-92-899-3299-8
Sprache
Englisch

Erschienen in
Series: ECB Working Paper ; No. 2194

Klassifikation
Wirtschaft
Business Fluctuations; Cycles
Money Supply; Credit; Money Multipliers
Macroeconomics: Consumption; Saving; Wealth
Financial Crises
Intertemporal Household Choice; Life Cycle Models and Saving
Thema
equilibrium credit
credit cycles
financial crises
macro-prudential analysis
early-warning models

Ereignis
Geistige Schöpfung
(wer)
Lang, Jan Hannes
Welz, Peter
Ereignis
Veröffentlichung
(wer)
European Central Bank (ECB)
(wo)
Frankfurt a. M.
(wann)
2018

DOI
doi:10.2866/817670
Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Lang, Jan Hannes
  • Welz, Peter
  • European Central Bank (ECB)

Entstanden

  • 2018

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