Afanasyeva, Elena - 2013 - First Version: September 30, 2011, this Version: April 14, 2013
Credit boom detection methodologies (such as threshold method) lack robustness as they are based on univariate … detrending analysis and resort to ratios of credit to real activity. I propose a quantitative indicator to detect atypical … behavior of credit from a multivariate system - a monetary VAR. This methodology explicitly accounts for endogenous …