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The Interdependence between Credit and Real Business Cycles in Latin American Economies

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  • José Eduardo Gómez

    ()

  • Jair Ojeda Joya

    ()

  • Fernando Tenjo Galarza

    ()

  • Héctor Manuel Zárate Solano

    ()

Abstract

In this document we estimate credit and GDP cycles for three Latin-American economies and study their relation in the time and frequency domains. Cycles are estimated in order to analyze their medium and short-term frequencies. We find that short-term cycles are usually more volatile than medium-term cycles for credit and GDP in Chile, Colombia and Peru. We also find that credit-cycle peaks in the middle 1990s and middle 2000s precede notable GDP recessions 2 or 3 years later in these countries. Additionally, credit cycles in Latin-American economies tend to cause later movements in economic activity. This effect can be decomposed into two components: first, a negative effect in the case of business-cycle frequencies, and a positive effect in the case of medium-term GDP fluctuations.

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Bibliographic Info

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 010833.

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Length: 27
Date of creation: 03 Jun 2013
Date of revision:
Handle: RePEc:col:000094:010833

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Keywords: Short and Medium-Term Cycles; Frequency Domain; Granger Causality; Credit Booms and Crunches; Recession.;

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  1. Pollock, D. S. G., 2000. "Trend estimation and de-trending via rational square-wave filters," Journal of Econometrics, Elsevier, vol. 99(2), pages 317-334, December.
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Cited by:
  1. Ramirez, Francisco, 2013. "The Relationship Between Credit and Business Cycles in Central America and the Dominican Republic," MPRA Paper 50332, University Library of Munich, Germany.

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