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International credit cycles: a regional perspective

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  • Stolbov, Mikhail

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.

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  • Stolbov, Mikhail, 2012. "International credit cycles: a regional perspective," MPRA Paper 37773, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:37773
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    Cited by:

    1. Veysov, Alexander, 2012. "Financial Contagion and Systemic Risk: From Theory to Applicable Macroeconomic Model," MPRA Paper 40612, University Library of Munich, Germany.
    2. Kablan, Sandrine & Ftiti, Zied & Guesmi, Khaled, 2017. "Commodity price cycles and financial pressures in African commodities exporters," Emerging Markets Review, Elsevier, vol. 30(C), pages 215-231.
    3. Ftiti, Zied & Kablan, Sandrine & Guesmi, Khaled, 2016. "What can we learn about commodity and credit cycles? Evidence from African commodity-exporting countries," Energy Economics, Elsevier, vol. 60(C), pages 313-324.

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    More about this item

    Keywords

    credit cycle; banking crisis; net spill-over index; Hodrick-Prescott filter; Poisson regression; macro-prudential regulation;
    All these keywords.

    JEL classification:

    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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