Optimizing Credit Gaps for Predicting Financial Crises: Modelling Choices and Tradeoffs
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DOI: 10.17016/IFDP.2021.1307
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Cited by:
- Berger, Tino & Richter, Julia & Wong, Benjamin, 2022.
"A unified approach for jointly estimating the business and financial cycle, and the role of financial factors,"
Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
- Tino Berger & Julia Richter & Benjamin Wong, 2020. "Financial factors and the business cycle," CAMA Working Papers 2020-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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- Tino Berger & Julia Richter & Benjamin Wong, 2021. "A Unified Approach for Jointly Estimating the Business and Financial Cycle, and the Role of Financial Factors," Monash Econometrics and Business Statistics Working Papers 4/21, Monash University, Department of Econometrics and Business Statistics.
- Berger, Tino & Richter, Julia & Wong, Benjamin, 2021. "A unified approach for jointly estimating the business and financial cycle, and the role of financial factors," Working Papers 02/2021, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung.
- Harashima, Taiji, 2020. "A Theory of the Credit-to-GDP Gap: Using Credit Gaps to Predict Financial Crises," MPRA Paper 111732, University Library of Munich, Germany.
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More about this item
Keywords
Credit; Credit Gap; Optimization; Predictive Power; Robustness; Trend-cycle decomposition;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E39 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Other
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2021-01-25 (Banking)
- NEP-FDG-2021-01-25 (Financial Development and Growth)
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