International credit cycles: a regional perspective

Stolbov, Mikhail (2012): International credit cycles: a regional perspective.

Abstract

I use credit/GDP ratio to construct stylized credit cycles at global and regional levels over 1980-2010. Their average duration is between 12 and 15 years and for all the regions there is “a ceiling” and “a floor” curbing the amplitude of credit cycles. They are also largely interconnected, with the US credit cycle being the most influential and autonomous at the same time. The relationship between credit cycles and intensity of banking crises is also discussed. It appears that the regions exerting predominant influence over their counterparts and having a higher number of total connections at the same time experience fewer banking crises.

• Item Type: MPRA Paper
• Language: English
• Keywords: credit cycle; banking crisis; net spill-over index; Hodrick-Prescott filter; Poisson regression; macro-prudential regulation
• Subjects: F - International Economics > F3 - International Finance > F37 - International Finance Forecasting and Simulation: Models and Applications; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E50 - General

References

Coric, B., 2011. The Financial Accelerator Effect: a Survey. Financial Theory and Practice, Vol. 35 (2), 171-196.

Claessens, S., Kose, M.A., Terrones, M.E., 2011a. Financial Cycles: What? How? When? IMF Working Paper # 11/76.

Claessens, S., Kose, M.A., Terrones, M.E., 2011b. How Do Business and Financial Cycles Interact? IMF Working Paper # 11/88.

Credit Cycles and their Role for Macro-prudential Policy, 2011. European Banking Federation. Mimeo.

Drehmann, M., Borio, C., Tsatsaronis, K., 2011. Anchoring Countercyclical Capital Buffers: the Role of Credit Aggregates. International Journal of Central Banking, Vol. 7(4), 190-240.

Helbling, T., Huidrom, R., Kose, M.A., Otrok, C. 2010. Do Credit Shocks Matter? A Global Perspective. Mimeo.

Hodrick, R., Prescott, E., 1997. Postwar U.S. Business Cycles: An Empirical Investigation. Journal of Money, Credit, and Banking, Vol. 29 (1), 1–16.

Jermann, U., Quadrini, V., 2012. Macroeconomic Effects of Financial Shocks. The American Economic Review, Vol. 102 (1), 238-271.

Laeven, L., Valencia, F., 2010. Resolution of Banking Crises: the Good, the Bad, and the Ugly. IMF Working Paper # 11/88.

Rajan, R., Zingales, L., 2004 Saving Capitalism from the Capitalists: Unleashing the Power of Financial Markets to Create Wealth and Spread Opportunity. Princeton University Press.

Reinhart, C. M., Rogoff, K.S., 2011. From Financial Crash to Debt Crisis. The American Economic Review, 101(5): 1676–1706. Dataset.

Schularick, M., Taylor, A. M. 2012. Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870-2008. The American Economic Review, forthcoming.

Teng Teng Xu, 2011. The Role of Credit in International Credit Cycles. Mimeo.