Early Warning Indicators of Asset Price Boom/Bust Cycles in Emerging Markets

30 Pages Posted: 2 Oct 2012

Date Written: October 2, 2012

Abstract

We apply recently developed early warning indicators systems to a cross-section of emerging markets. We find that, with little or no modification, models designed to predict asset price booms/busts in advanced countries may be useful for emerging markets. The concept of monitoring a set of asset prices, real activity (especially investment) and financial (especially credit) indicators is generally found to be efficacious.

Keywords: early warning indicators, asset prices, emerging markets

JEL Classification: E37, E44, E51

Suggested Citation

Ponomarenko, Alexey A., Early Warning Indicators of Asset Price Boom/Bust Cycles in Emerging Markets (October 2, 2012). BOFIT Discussion Paper No. 22/2012, Available at SSRN: https://ssrn.com/abstract=2155598 or http://dx.doi.org/10.2139/ssrn.2155598

Alexey A. Ponomarenko (Contact Author)

Central Bank of Russia ( email )

12 Neglinnaya Street
Moscow, 107016
Russia

HOME PAGE: http://http.//www.cbr.ru

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