Arbeitspapier
Atypical behavior of credit: Evidence from a monetary VAR
Credit boom detection methodologies (such as threshold method) lack robustness as they are based on univariate detrending analysis and resort to ratios of credit to real activity. I propose a quantitative indicator to detect atypical behavior of credit from a multivariate system - a monetary VAR. This methodology explicitly accounts for endogenous interactions between credit, asset prices and real activity and detects atypical credit expansions and contractions in the Euro Area, Japan and the U.S. robustly and timely. The analysis also proves useful in real time.
- Sprache
-
Englisch
- Erschienen in
-
Series: IMFS Working Paper Series ; No. 70
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Estimation: General
Forecasting Models; Simulation Methods
Money Supply; Credit; Money Multipliers
Central Banks and Their Policies
- Thema
-
Credit
Bayesian VAR
Conditional Forecasts
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Afanasyeva, Elena
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2013
- Handle
- URN
-
urn:nbn:de:hebis:30:3-305838
- Letzte Aktualisierung
-
10.03.2025, 11:45 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.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Afanasyeva, Elena
- Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)
Entstanden
- 2013
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