Quasi real time early warning indicators for costly asset price boom/bust cycles: A role for global liquidity

Alessi, Lucia; Detken, Carsten

doi:10.1016/j.ejpoleco.2011.01.003

Cited by 335 publications

(368 citation statements)

References 10 publications

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“…The finding of a strong role of credit is in line with earlier literature on the determinants of financial crises (see e.g. Borio and Lowe (2004), Alessi and Detken (2011), Drehmann et al (2011), Schularick and Taylor (2012), Behn et al (2013) and LoDuca and Peltonen (2013)), and it also supports the Basel Committee's focus on monitoring movements in the credit-to-GDP gap when setting the countercyclical capital buffer (see Basel Committee on Banking Supervision (2010b)). 24 In the next three columns, we gradually extend the information set by adding the non-core funding gap, banks' capitalization (as measured by the equity ratio) and the output gap.…”

Section: Econometric Resultssupporting

confidence: 80%

“…We also find that both a larger house price-to-income and non-core funding ratio gap increases the likelihood of a crisis. These results are in line with Borio and Lowe (2004), Alessi and Detken (2011), Drehmann et al (2011), Schularick and Taylor (2012), Behn et al (2013), LoDuca and Peltonen (2013) and Hahm et al (2013). It is reassuring that similar results may be established using a different information set.…”

Section: Introductionsupporting

confidence: 79%

“…These are typically constructed on the basis of GDP weights, or as a simple arithmetic average of these measures in some "important economies" (see e.g. Alessi and Detken (2011), Behn et al (2013) and LoDuca and Peltonen (2013)). A drawback with this approach is that not all countries are equally interconnected, and that these interlinkages may change over time.…”

Section: Credit To Households Vs Non-financial Enterprisesmentioning

confidence: 99%

See 2 more Smart Citations

Bubbles and Crises: The Role of House Prices and Credit

Anundsen

Gerdrup²,

Hansen³

et al. 2014

SSRN Journal

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Section: Econometric Resultssupporting

confidence: 80%

Section: Introductionsupporting

confidence: 79%

Section: Credit To Households Vs Non-financial Enterprisesmentioning

confidence: 99%

See 1 more Smart Citation

Bubbles and Crises: The Role of House Prices and Credit

Anundsen

Gerdrup²,

Hansen³

et al. 2014

SSRN Journal

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“…A key finding of this paper is that exuberant credit growth usually anticipates financial crisis. Similar results have been obtained by Alessi and Detken (2011), Borio and Drehmann (2009) and by Tenjo and López (2010) who construct early warning models of financial crises for alternative groups of countries.…”

Section: Literature Reviewsupporting

confidence: 75%

Mind the gap: Computing finance-neutral output gaps in Latin-American economies

et al. 2016

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We compute a measure of the finance-neutral potential output for Colombia, Chile and Mexico. Our methodology is based on Borio et al (2013, 2014) and incorporates the cycle of credit, house prices and the real exchange rate on the computation of the output gap. The literature on business cycles in emerging market economies, particularly papers focusing on Latin American economies, has highlighted the importance of including shocks to the interest rate in world capital markets together with financial frictions; terms of trade fluctuations; and a procyclical government spending process. Our results show that around the financial crises of the 1990s the finance-neutral output gap behaved differently than the traditional measures observed by policymakers. In particular, gaps are higher before crises and lower after them.

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“…15 The costs of FNs and FPs might be asymmetric, where the weight depends on the policymaker's preferences between giving false signals of crisis and tranquil periods. To calibrate an optimal model and threshold for policy action, we adapt the approach pioneered in Demirgüç-Kunt and Detragiache (2000) with the technical implementation suggested by Alessi and Detken (2011). The loss function of the policymaker is thus defined as:…”

Section: True Positive (Tp) False Positive (Fp) Predicted Class -Falsmentioning

confidence: 99%

Mapping the state of financial stability

Sarlin

Peltonen

2013

Journal of International Financial Markets, Institutions and Mo

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Wo r k i n g Pa Pe r S e r i e S n o 1382 / S e P t e m b e r Macroprudential Research NetworkThis paper presents research conducted within the Macroprudential Research Network (MaRs). The network is composed of economists from the European System of Central Banks (ESCB), i.e. the 27 national central banks of the European Union (EU) and the European Central Bank. The objective of MaRs is to develop core conceptual frameworks, models and/or tools supporting macro-prudential supervision in the EU.The research is carried out in three work streams: 1) Macro-financial models linking financial stability and the performance of the economy; 2) Early warning systems and systemic risk indicators; 3) Assessing contagion risks. The refereeing process of this paper has been coordinated by a team composed of Cornelia Holthausen, Kalin Nikolov and Bernd Schwaab (all ECB).The paper is released in order to make the research of MaRs generally available, in preliminary form, to encourage comments and suggestions prior to final publication. The views expressed in the paper are the ones of the author(s) and do not necessarily reflect those of the ECB or of the ESCB. ECB Working Paper Series No 1382September 2011 Abstract 4 Non-technical summary 5

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Quasi real time early warning indicators for costly asset price boom/bust cycles: A role for global liquidity

Cited by 335 publications

References 10 publications

Bubbles and Crises: The Role of House Prices and Credit

Bubbles and Crises: The Role of House Prices and Credit

Mind the gap: Computing finance-neutral output gaps in Latin-American economies

Mapping the state of financial stability

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