An Early Warning Model for Predicting Credit Booms Using Macroeconomic Aggregates

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Borradores de Economía; No. 723
Date published
2012-07-15
Date of last update
2012-07-15
Author
Guarín-López, Alexander
González-Gómez, Andrés
Skandalis, Daphné
Sanchez, Daniela
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
In this paper, we propose an alternative methodology to determine the existence of credit booms, which is a complex and crucial issue for policymakers. In particular, we exploit the Mendoza and Terrones (2008)’s idea that macroeconomic aggregates other th
JEL Codes
E32 - Business Fluctuations; CyclesE37 - Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and ApplicationE44 - Financial Markets and the MacroeconomyE51 - Money Supply; Credit; Money MultipliersC53 - Forecasting and Prediction Methods; Simulation Methods
Keywords
Early Warning Indicator ; Credit Booms ; Business Cycles ; Emerging Markets ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5767
https://hdl.handle.net/20.500.12134/5767
https://doi.org/10.32468/be.723
https://ideas.repec.org/p/bdr/borrec/723.html
https://ideas.repec.org/p/col/000094/009826.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit