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Measuring credit procyclicality: A new database

Author

Listed:
  • Vincent Bouvatier

    (ERUDITE - Equipe de Recherche sur l’Utilisation des Données Individuelles en lien avec la Théorie Economique - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12 - Université Gustave Eiffel)

  • Anne-Laure Delatte

    (CEPR - Center for Economic Policy Research, LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • Pierre-Nicolas Rehault

    (LAPE - Laboratoire d'Analyse et de Prospective Economiques - GIO - Gouvernance des Institutions et des Organisations - UNILIM - Université de Limoges)

Abstract

Today, the data available to estimate the credit cycle involve a trade-off between country coverage and frequency. In addition, there are pending methodological issues to estimate credit trend and cyclical components. To address these limits, we build a new database on credit metrics that relaxes the trade-off and includes credit procyclicality measures along three alternative methods- HP filter, the modified HP filter and basic SSA. The credit gaps in our database are statistically consistent with bank credit gaps estimated with BIS data and they have the advantage of being available for 163 countries instead of 43 countries. Armed with this new and expanded data, we revisit classic empirical questions in the literature.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Vincent Bouvatier & Anne-Laure Delatte & Pierre-Nicolas Rehault, 2022. "Measuring credit procyclicality: A new database," Post-Print hal-04286376, HAL.
    • Handle: RePEc:hal:journl:hal-04286376
    DOI: 10.1016/j.ememar.2022.100913
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    Cited by:

    1. Carlos Giraldo & Iader Giraldo-Salazar & Jose E. Gomez-Gonzalez & Jorge M. Uribe, 2025. "The Impact of Colombia’s Gross Leverage Position in Foreign Exchange Derivatives on Housing Market Stability," Documentos de trabajo 21366, FLAR.
    2. Maximilian Grimm, 2024. "The Effect of Monetary Policy on Systemic Bank Funding Stability," ECONtribute Discussion Papers Series 341, University of Bonn and University of Cologne, Germany.
    3. Bouvatier, Vincent & El Ouardi, Sofiane, 2023. "Credit gaps as banking crisis predictors: A different tune for middle- and low-income countries," Emerging Markets Review, Elsevier, vol. 54(C).

    More about this item

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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