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International Credit Cycles: A Regional Perspective

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  • Mikhail Stolbov

Abstract

Credit/GDP ratio is used to construct stylized credit cycles at global and regional levels over 1980–2010. The analysis encompasses 94 countries in 7 regions and is based on vector auto-regression (VAR) methodology. It is found that the average duration of the regional credit cycles is between 12 and 15 years and there is “a ceiling” and “a floor” curbing the amplitude of these cycles. They are also largely interconnected, with the US credit cycle playing a pivotal role for the rest of the regions and being insulated from any external influence meanwhile. The relationship between credit cycles and the intensity of banking crises is also discussed. It appears that fewer banking crises occur in the regions exerting predominant influence over their counterparts and having a higher number of total connections.

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  • Mikhail Stolbov, 2014. "International Credit Cycles: A Regional Perspective," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 21-47.
    • Handle: RePEc:bas:econst:y:2014:i:1:p:21-47
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    Cited by:

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    3. Ftiti, Zied & Kablan, Sandrine & Guesmi, Khaled, 2016. "What can we learn about commodity and credit cycles? Evidence from African commodity-exporting countries," Energy Economics, Elsevier, vol. 60(C), pages 313-324.

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    More about this item

    JEL classification:

    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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