Atypical behavior of credit: Evidence from a monetary VAR

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IMFS Working Paper Series ; No. 70

Classification and Topics

• Classification: Wirtschaft ; Bayesian Analysis: General ; Estimation: General ; Forecasting Models; Simulation Methods ; Money Supply; Credit; Money Multipliers ; Central Banks and Their Policies
• Subject: Credit ; Bayesian VAR ; Conditional Forecasts

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Afanasyeva, Elena
• Event: Veröffentlichung
• (who): Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)
• (where): Frankfurt a. M.
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/97778
• URN: urn:nbn:de:hebis:30:3-305838
• Last update: 10.03.2025, 11:45 AM CET