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International credit cycles: a regional perspective

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  • Stolbov, Mikhail

Abstract

I use credit/GDP ratio to construct stylized credit cycles at global and regional levels over 1980-2010. Their average duration is between 12 and 15 years and for all the regions there is “a ceiling” and “a floor” curbing the amplitude of credit cycles. They are also largely interconnected, with the US credit cycle being the most influential and autonomous at the same time. The relationship between credit cycles and intensity of banking crises is also discussed. It appears that the regions exerting predominant influence over their counterparts and having a higher number of total connections at the same time experience fewer banking crises.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 37773.

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Date of creation: 29 Mar 2012
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Handle: RePEc:pra:mprapa:37773

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Keywords: credit cycle; banking crisis; net spill-over index; Hodrick-Prescott filter; Poisson regression; macro-prudential regulation;

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  1. Thomas Helbling & M. Ayhan Kose & Christopher Otrok & Raju Huidrom, 2010. "Do Credit Shocks Matter? A Global Perspective," IMF Working Papers 10/261, International Monetary Fund.
  2. Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2011. "Anchoring Countercyclical Capital Buffers: The role of Credit Aggregates," International Journal of Central Banking, International Journal of Central Banking, vol. 7(4), pages 189-240, December.
  3. Luc Laeven & Fabian Valencia, 2010. "Resolution of Banking Crises," IMF Working Papers 10/146, International Monetary Fund.
  4. Moritz Schularick & Alan M. Taylor, 2009. "Credit Booms Gone Bust: Monetary Policy, Leverage Cycles and Financial Crises, 1870–2008," NBER Working Papers 15512, National Bureau of Economic Research, Inc.
  5. Stijn Claessens & M. Ayhan Kose & Marco E. Terrones, 2010. "Financial Cycles: What? How? When?," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 303-343 National Bureau of Economic Research, Inc.
  6. Carmen M. Reinhart & Kenneth S. Rogoff, 2010. "From Financial Crash to Debt Crisis," NBER Working Papers 15795, National Bureau of Economic Research, Inc.
  7. Urban Jermann & Vincenzo Quadrini, 2012. "Macroeconomic Effects of Financial Shocks," American Economic Review, American Economic Association, vol. 102(1), pages 238-71, February.
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Cited by:
  1. Veysov, Alexander, 2012. "Financial Contagion and Systemic Risk: From Theory to Applicable Macroeconomic Model," MPRA Paper 40612, University Library of Munich, Germany.

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