Template-Type: ReDIF-Paper 1.0
Author-Name: Elena Deryugina
Author-Email: DeryuginaEB@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation

Author-Name: Alexey Ponomarenko
Author-Email: PonomarenkoAA@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation


Title:  Real-time determination of credit cycle phases in emerging markets
Abstract: We test the ability of early warning indicators that appear in the literature to predict credit cycle peaks in a cross-section of emerging markets. Our results confirm that the standard credit gap indicator performs satisfactorily. The robustness of real-time credit cycle determination may potentially (and with a risk of overfitting the data) be improved by simultane-ously monitoring GDP growth, banks’ non-core liabilities, the financial sector’s value added and (to a lesser extent) the change in the debt service ratio.

Length: 19 pages
Creation-Date: 2017-01
Revision-Date:
Publication-Status:
File-URL: http://www.cbr.ru/Content/Document/File/87556/wps_17_e.pdf
File-Format: Application/pdf
File-Function:
Number:wps17
Classification-JEL: E37, E44, E51.
Keywords: credit cycle, countercyclical capital buffers, early warning indicators, emerging markets.
Handle: RePEc:bkr:wpaper:wps17