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Why you should use the Hodrick-Prescott filter - at least to generate credit gaps

Citations

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Cited by:

  1. Wolassa L. Kumo, 2022. "Working Paper 362 - Economic Growth, Total Factor Productivity and Output Gap in Sierra Leone," Working Paper Series 2488, African Development Bank.
  2. repec:spo:wpmain:info:hdl:2441/4nn4ojjkth8qe9ci5b0hpu7ala is not listed on IDEAS
  3. Deryugina, Elena & Ponomarenko, Alexey & Rozhkova, Anna, 2020. "When are credit gap estimates reliable?," Economic Analysis and Policy, Elsevier, vol. 67(C), pages 221-238.
  4. Daniel O. Beltran & Mohammad R. Jahan-Parvar & Fiona A. Paine, 2021. "Optimizing Credit Gaps for Predicting Financial Crises: Modelling Choices and Tradeoffs," International Finance Discussion Papers 1307, Board of Governors of the Federal Reserve System (U.S.).
  5. Tamás Sebestyén & Zita Iloskics, 2020. "Do economic shocks spread randomly?: A topological study of the global contagion network," PLOS ONE, Public Library of Science, vol. 15(9), pages 1-22, September.
  6. Serju-Thomas, Prudence, 2020. "Fiscal sustainability: The case for Jamaica," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
  7. Terhi Jokipii & Reto Nyffeler & Stéphane Riederer, 2021. "Exploring BIS credit-to-GDP gap critiques: the Swiss case," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 157(1), pages 1-19, December.
  8. Viv B Hall & Peter Thomson, 2020. "Does Hamilton’s OLS regression provide a “better alternative†to the Hodrick-Prescott filter? A New Zealand business cycle perspective," CAMA Working Papers 2020-71, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  9. Viv B. Hall & Peter Thomson, 2021. "Does Hamilton’s OLS Regression Provide a “better alternative” to the Hodrick-Prescott Filter? A New Zealand Business Cycle Perspective," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(2), pages 151-183, November.
  10. Chikako Baba & Mr. Salvatore Dell'Erba & Ms. Enrica Detragiache & Olamide Harrison & Ms. Aiko Mineshima & Anvar Musayev & Asghar Shahmoradi, 2020. "How Should Credit Gaps Be Measured? An Application to European Countries," IMF Working Papers 2020/006, International Monetary Fund.
  11. Vatsa, Puneet, 2021. "Have Business Cycles Become More Synchronous After NAFTA?," American Business Review, Pompea College of Business, University of New Haven, vol. 24(1), pages 54-66, May.
  12. Piergiorgio Alessandri & Pierluigi Bologna & Maddalena Galardo, 2022. "Financial Crises, Macroprudential Policy and the Reliability of Credit-to-GDP Gaps," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 70(4), pages 625-667, December.
  13. Mathias Drehmann & James Yetman, 2021. "Which Credit Gap Is Better at Predicting Financial Crises? A Comparison of Univariate Filters," International Journal of Central Banking, International Journal of Central Banking, vol. 17(70), pages 1-31, October.
  14. Hodula Martin & Malovaná Simona & Frait Jan, 2022. "Too much of a good thing? Households’ macroeconomic conditions and credit dynamics," German Economic Review, De Gruyter, vol. 23(4), pages 529-566, December.
  15. Roy, Saktinil, 2022. "What drives the systemic banking crises in advanced economies?," Global Finance Journal, Elsevier, vol. 54(C).
  16. Valdivia Coria, Joab Dan & Valdivia Coria, Daney David, 2021. "Impacto del Stress Sistémico en el Crecimiento Económico: Caso Guatemala [Systemic Stress Impact on Economic Growth: The case of Guatemala]," MPRA Paper 110669, University Library of Munich, Germany.
  17. Jon Danielsson & Marcela Valenzuela & Ilknur Zer, 2023. "The Impact of Risk Cycles on Business Cycles: A Historical View," The Review of Financial Studies, Society for Financial Studies, vol. 36(7), pages 2922-2961.
  18. Reichlin, Lucrezia & Ricco, Giovanni & Hasenzagl, Thomas, 2020. "Financial variables as predictors of real growth vulnerability," Discussion Papers 05/2020, Deutsche Bundesbank.
  19. Jacopo Bonchi & Francesco Simone Lucidi, 2020. "How Low Interest Rates Discern the Bubbles Nature: Leveraged vs Unleveraged Bubble," Working Papers 12/20, Sapienza University of Rome, DISS.
  20. Carnazza, Giovanni & Liberati, Paolo & Sacchi, Agnese, 2020. "The cyclically-adjusted primary balance: A novel approach for the euro area," Journal of Policy Modeling, Elsevier, vol. 42(5), pages 1123-1145.
  21. Meng Yan & Kai Shi, 2024. "Revisiting the Impact of US Uncertainty Shocks: New Evidence from China’s Investment Dynamics," Open Economies Review, Springer, vol. 35(3), pages 457-495, July.
  22. Mariarosaria Comunale & Markus Eller & Mathias Lahnsteiner, 2020. "Assessing Credit Gaps in CESEE Based on Levels Justified by Fundamentals – A Comparison Across Different Estimation Approaches (Mariarosaria Comunale, Markus Eller, Mathias Lahnsteiner)," Working Papers 229, Oesterreichische Nationalbank (Austrian Central Bank).
  23. Sleibi, Yacoub & Casalin, Fabrizio & Fazio, Giorgio, 2020. "Bank-specific shocks and aggregate leverage: Empirical evidence from a panel of developed countries," Journal of Financial Stability, Elsevier, vol. 49(C).
  24. De Schryder, Selien & Opitz, Frederic, 2021. "Macroprudential policy and its impact on the credit cycle," Journal of Financial Stability, Elsevier, vol. 53(C).
  25. Adam Geršl & Thomas Mitterling, 2021. "Forecast-Augmented Credit-to-GDP Gap as an Early Warning Indicator of Banking Crises," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 71(4), pages 323-351, December.
  26. Mark Setterfield & Joana David Avritzer, 2020. "Hysteresis in the normal rate of capacity utilization: A behavioral explanation," Metroeconomica, Wiley Blackwell, vol. 71(4), pages 898-919, November.
  27. Ihejirika, Peters. O, 2020. "Does the Credit-to-GDP Gap Predict Financial Crisis in Nigeria?," International Journal of Social and Administrative Sciences, Asian Economic and Social Society, vol. 5(2), pages 109-126, June.
  28. Łukasz Kurowski, 2021. "Financial cycle − A critical analysis of the methodology for its identification," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(3), pages 99-116.
  29. Francesco Simone Lucidi, 2019. "Real-time signals anticipating credit booms in Euro Area countries," Working Papers in Public Economics 189, Department of Economics and Law, Sapienza University of Roma.
  30. Claudio Borio & Mathias Drehmann & Dora Xia Author-X-Name_First: Dora, 2019. "Predicting recessions: financial cycle versus term spread," BIS Working Papers 818, Bank for International Settlements.
  31. Paul-Olivier Klein & Rima Turk-Ariss, 2022. "Bank capital and economic activity," Post-Print hal-03955630, HAL.
  32. Ziwei Mei & Peter C. B. Phillips & Zhentao Shi, 2022. "The boosted HP filter is more general than you might think," Papers 2209.09810, arXiv.org, revised Apr 2024.
  33. Kauko, Karlo & Tölö, Eero, 2019. "On the long-run calibration of the credit-to-GDP gap as a banking crisis predictor," Bank of Finland Research Discussion Papers 6/2019, Bank of Finland.
  34. Jeerawadee Pumjaroen & Preecha Vichitthamaros & Yuthana Sethapramote, 2020. "Forecasting Economic Cycle with a Structural Equation Model: Evidence from Thailand," International Journal of Economics and Financial Issues, Econjournals, vol. 10(3), pages 47-57.
  35. Gammadigbe, Vigninou, 2022. "Financial Cycles Synchronization in WAEMU Countries: Implications for Macroprudential Policy," Finance Research Letters, Elsevier, vol. 46(PA).
  36. Önundur Páll Ragnarsson & Jón Magnús Hannesson & Loftur Hreinsson, 2019. "Financial cycles as early warning indicators - Lessons from the Nordic region," Economics wp80, Department of Economics, Central bank of Iceland.
  37. Bernhard Herz & Jochen Keller, 2023. "How Do Regulators Set the Countercyclical Capital Buffer?," International Journal of Central Banking, International Journal of Central Banking, vol. 19(3), pages 99-137, August.
  38. Zahra H. Oskouei & Zahra Heidary Sureshjani, 2021. "Studying the relationship between managerial ability and real earnings management in economic and financial crisis conditions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4574-4589, July.
  39. Nicolas Reigl & Lenno Uusküla, 2021. "Alternative frameworks for measuring credit gaps and setting countercyclical capital buffers," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 13(2), pages 161-179, February.
  40. repec:hal:spmain:info:hdl:2441/4nn4ojjkth8qe9ci5b0hpu7ala is not listed on IDEAS
  41. Panizza, Ugo, 2022. "Do Countries Default in Bad Times? The Role of Alternative Detrending Techniques," CEPR Discussion Papers 17216, C.E.P.R. Discussion Papers.
  42. Rünstler, Gerhard & Bräuer, Leonie, 2020. "Monetary policy transmission over the leverage cycle: evidence for the euro area," Working Paper Series 2421, European Central Bank.
  43. Coussin, Maximilien, 2022. "Singular spectrum analysis for real-time financial cycles measurement," Journal of International Money and Finance, Elsevier, vol. 120(C).
  44. Dionysios Chionis & Fotios Mitropoulos & Antonios Sarantidis, 2021. "Business cycles and macroeconomic asymmetries: New evidence from Eurozone and European countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5977-5996, October.
  45. Pierluigi Bologna & Maddalena Galardo, 2024. "Calibrating the countercyclical capital buffer using AUROCs," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 53(1), February.
  46. Puspa D. Amri & Eric M. P. Chiu & Jacob M. Meyer & Greg M. Richey & Thomas D. Willett, 2022. "Correlates of Crisis Induced Credit Market Discipline: The Roles of Democracy, Veto Players, and Government Turnover," Open Economies Review, Springer, vol. 33(1), pages 61-87, February.
  47. Yıldırım Furkan, 2021. "Analysis of the relationship between countercyclical capital buffer and performance and risk indicators of the banking sector," Economics and Business Review, Sciendo, vol. 7(3), pages 103-123, September.
  48. Wang, Xi & Liu, Ying & Chen, Zhongfei, 2022. "Monetary policy dysregulation with data distortion," Economic Modelling, Elsevier, vol. 116(C).
  49. Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur, 2020. "Financial volatility and economic growth, 1870-2016," LSE Research Online Documents on Economics 118886, London School of Economics and Political Science, LSE Library.
  50. Kady Keita & Camelia Turcu, 2023. "Promoting Counter-Cyclical Fiscal Policy: Fiscal Rules Versus Institutions," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 65(4), pages 736-781, December.
  51. Tihana Škrinjarić, 2023. "Credit-to-GDP Gap Estimates in Real Time: A Stable Indicator for Macroprudential Policy Making in Croatia," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 65(3), pages 582-614, September.
  52. Mr. Luis M. Cubeddu & Signe Krogstrup & Gustavo Adler & Mr. Pau Rabanal & Mai Dao & Mrs. Swarnali A Hannan & Luciana Juvenal & Ms. Carolina Osorio-Buitron & Cyril Rebillard & Mr. Daniel Garcia-Macia &, 2019. "The External Balance Assessment Methodology: 2018 Update," IMF Working Papers 2019/065, International Monetary Fund.
  53. Fernandez-Gallardo, Alvaro, 2023. "Preventing financial disasters: Macroprudential policy and financial crises," European Economic Review, Elsevier, vol. 151(C).
  54. repec:zbw:bofrdp:2019_006 is not listed on IDEAS
  55. Mariarosaria Comunale & Markus Eller & Mathias Lahnsteiner, 2020. "Assessing credit gaps in CESEE based on levels justified by fundamentals – a comparison across different estimation approaches," Bank of Lithuania Working Paper Series 74, Bank of Lithuania.
  56. Klein, Paul-Olivier & Turk-Ariss, Rima, 2022. "Bank capital and economic activity," Journal of Financial Stability, Elsevier, vol. 62(C).
  57. Andreas Kern & Puspa Amri, 2021. "Political credit cycles," Economics and Politics, Wiley Blackwell, vol. 33(1), pages 76-108, March.
  58. Helene Olsen & Harald Wieslander, 2020. "The Impact of Monetary Policy on Leading Variables for Financial Stability in Norway," Working Papers No 02/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  59. Gjergj Legisi, 2020. "Credit-to-GDP gap: Local versus foreign currency credit," IHEID Working Papers 13-2020, Economics Section, The Graduate Institute of International Studies.
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