Approximating Botswana's financial cycle: Expanding the macroprudential toolkit
Leonard Nnete Setshegetso,
Mogakolodi Mado
Abstract:This study estimates the financial cycle for Botswana using the Christiano–Fitzgerald band‐pass filter, unobserved components approach and a Markov switching dynamic factor model. Using real credit and equity prices, together with several macroeconomic variables from 2001Q1 to 2021Q4, we find that the domestic financial cycle generally captures movements along the business cycle, with peaks reflecting the cumulative build‐up of risks during the boom that ultimately burst, coinciding with periods of financial d… Show more
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