Utilize este identificador para referenciar este registo: http://hdl.handle.net/10362/11723
Título: Credit cycle identification: A Markov-switching application
Autor: Santos, João Ramiro Rodrigues Simões dos
Orientador: Rodrigues, Paulo M. M.
Palavras-chave: Credit cycles
Phase identification
Markov-switching
Data de Defesa: Jan-2014
Editora: NSBE - UNL
Resumo: This project aims to study credit dynamics and to identify phases of credit cycles at the country level. We applied a Markov-switching (MS) autoregressive framework and a MS with regime-invariant macroeconomic variables to a broad concept of credit, domestic credit. We used a sample of 10 developed countries. MS identification power is assessed using smooth probabilities of low growth states, collected as a by-product of models estimation, against historical databases of crisis events. Conclusions support that MS is accurate in identifying credit cycle phases, and that domestic credit is a good variable for such identification. Additionally, Credit Gap, excess growth over GDP and Broad Money contribute positively to the MS predictions.
Descrição: A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
Peer review: no
URI: http://hdl.handle.net/10362/11723
Aparece nas colecções:NSBE: Nova SBE - MA Dissertations

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