Measuring Credit Procyclicality: A New Database

50 Pages Posted: 22 Sep 2021

See all articles by Vincent Bouvatier

Vincent Bouvatier

University Paris-Est Créteil (UPEC) - ERUDITE

Anne Laure Delatte

Centre d'Etudes Prospectives et d'Info. Internationales (CEPII)

Pierre-Nicholas Rehault

Université de Limoges, LAPE

Date Written: September 2021

Abstract

Today, the data available to estimate the credit cycle involve a trade-off between country coverage and frequency. In addition, there are pending methodological issues to estimate credit trend and cyclical components. To address these limits, we build a new database on credit metrics that relaxes the trade-off and includes credit procyclicality measures along three alternative methods- HP filter, the modified HP filter and basic SSA. The credit gaps in our database are statistically consistent with bank credit gaps estimated with BIS data and they have the advantage of being available for 163 countries instead of 43 countries. Armed with this new and expanded data, we revisit classic empirical questions in the literature.

Keywords: Credit Booms, Credit cycle, Credit Gap, Cross-countries Comparison, Global financial cycle, Hodrick-Prescott, Singular Spectrum Analysis

JEL Classification: E32, E51, F42

Suggested Citation

Bouvatier, Vincent and Delatte, Anne Laure and Rehault, Pierre-Nicholas, Measuring Credit Procyclicality: A New Database (September 2021). Available at SSRN: https://ssrn.com/abstract=3928830

Vincent Bouvatier (Contact Author)

University Paris-Est Créteil (UPEC) - ERUDITE ( email )

Mail des Mèches
61 avenue du Général de Gaulle
Créteil Cedex, 94010
France

Anne Laure Delatte

Centre d'Etudes Prospectives et d'Info. Internationales (CEPII) ( email )

9 rue Georges Pitard
Paris Cedex 15, F-75015
France

Pierre-Nicholas Rehault

Université de Limoges, LAPE ( email )

5 rue Félix Eboué BP3127
LIMOGES, 87031
France

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