Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/97778
Authors: 
Afanasyeva, Elena
Year of Publication: 
2013
Series/Report no.: 
IMFS Working Paper Series 70
Abstract: 
Credit boom detection methodologies (such as threshold method) lack robustness as they are based on univariate detrending analysis and resort to ratios of credit to real activity. I propose a quantitative indicator to detect atypical behavior of credit from a multivariate system - a monetary VAR. This methodology explicitly accounts for endogenous interactions between credit, asset prices and real activity and detects atypical credit expansions and contractions in the Euro Area, Japan and the U.S. robustly and timely. The analysis also proves useful in real time.
Subjects: 
Credit
Bayesian VAR
Conditional Forecasts
JEL: 
C11
C13
C53
E51
E58
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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