Arbeitspapier
The implications of global and domestic credit cycles for emerging market economies: Measures of finance-adjusted output gaps
We present estimates of finance-adjusted output gaps which incorporate the information on the domestic and global credit cycles for a sample of emerging market economies (EMEs). Following recent BIS research, we use a state-space representation of an HP filter augmented with a measure of the credit gap to estimate finance-adjusted output gaps. We measure the domestic and global credit gaps as the deviation of private-sector real credit growth and net capital flows to EMEs from long-term trends, using the asymmetric Band-Pass filter. Overall, we find that financial cycle information is associated with cyclical movements in output. In the current circumstances, the estimates suggest that if financing and credit conditions were to tighten, it would be associated with a moderation in activity in some EMEs.
- ISBN
-
978-92-899-2756-7
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2034
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Business Fluctuations; Cycles
Current Account Adjustment; Short-term Capital Movements
- Thema
-
domestic credit cycle
global financial cycle
output gap
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Grintzalis, Ioannis
Lodge, David
Manu, Ana-Simona
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2017
- DOI
-
doi:10.2866/34680
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Grintzalis, Ioannis
- Lodge, David
- Manu, Ana-Simona
- European Central Bank (ECB)
Entstanden
- 2017
Ähnliche Objekte (12)
Unobserved components model(s): Output gaps and financial cycles
Business cycles : market structure and market interaction
Endogenous Housing Market Cycles
U.S. monetary policy and emerging market credit cycles
Estimating sustainable output growth in emerging market economies
Gender gaps from labor market shocks
Wage Gaps, Earnings Gaps, and the Market Power of Employers
Endogenous time-varying volatility and emerging market business cycles
Emerging market business cycles revisited: learning about the trend
Seasonal cycles in the housing market
Liquidity-adjusted CAPM: An empirical analysis on Indian stock market
Election-Induced Fiscal Policy Cycles in Emerging Market and Developing Economies
Unobserved components model(s): Output gaps and financial cycles
Business cycles : market structure and market interaction
Endogenous Housing Market Cycles
U.S. monetary policy and emerging market credit cycles
Estimating sustainable output growth in emerging market economies
Gender gaps from labor market shocks
Wage Gaps, Earnings Gaps, and the Market Power of Employers
Endogenous time-varying volatility and emerging market business cycles
Emerging market business cycles revisited: learning about the trend
Seasonal cycles in the housing market
Liquidity-adjusted CAPM: An empirical analysis on Indian stock market
Election-Induced Fiscal Policy Cycles in Emerging Market and Developing Economies
Unobserved components model(s): Output gaps and financial cycles
Business cycles : market structure and market interaction
Endogenous Housing Market Cycles
U.S. monetary policy and emerging market credit cycles
Estimating sustainable output growth in emerging market economies
Gender gaps from labor market shocks
Wage Gaps, Earnings Gaps, and the Market Power of Employers
Endogenous time-varying volatility and emerging market business cycles
Emerging market business cycles revisited: learning about the trend
Seasonal cycles in the housing market
Liquidity-adjusted CAPM: An empirical analysis on Indian stock market