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

Author-Name: Anna Rozhkova
Author-Email: RozhkovaAM@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation




Title: When are credit gap estimates reliable?

Abstract: We evaluate the reliability of credit gap measures estimated over time samples of different lengths. 
We augment our empirical analysis (which turned out to be somewhat inconclusive) with Monte Carlo experiments. 
For this purpose we build an agent-based model that realistically reproduces credit cycles 
and use it to generate the artificial data set. 
We found that 12-15 years of available data is sufficient for the estimation of reliable credit gaps 
(i.e. the reliability of credit gap estimates will not improve substantially as more data are added to the sample).


Length: 34 pages
Creation-Date: 2018-07
Revision-Date:
Publication-Status:
File-URL: http://cbr.ru/Content/Document/File/87587/wp34_e.pdf
File-Format: Application/pdf
File-Function:
Number:wps34
Classification-JEL: C63, E37, E44, E51.
Keywords: credit gap, credit cycle, countercyclical capital buffer, agent-based models
Handle:RePEc:bkr:wpaper:wps34