Duration Dependence and Change-Points in the Likelihood of Credit Booms Ending

Whether the likelihood of a credit boom ending is dependent on its age or not, or whether the respective behavior is smooth or bumpy are important issues to which the economic literature has not given attention yet. This paper tries to fill that ga...

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Bibliographic Details
Main Authors:	Castro, Vitor, Kubota, Megumi
Format:	Policy Research Working Paper
Language:	English en_US
Published:	World Bank, Washington, DC 2013
Subjects:	AMOUNT OF CREDIT ANNUAL GROWTH ASSET PRICE ASSET PRICES BALANCE SHEETS BANK DEPOSITS BANK LENDING BANKING CRISIS BANKING DISTRESS BANKING SECTOR BANKING SYSTEM BANKING SYSTEM STABILITY BUSINESS CYCLE BUSINESS CYCLES CAPITAL FLOW CAPITAL FLOWS CAPITAL INFLOW CAPITAL INFLOWS CAPITAL MARKETS CAPITAL MOBILITY COMMODITY PRICE CONSOLIDATION CONSOLIDATIONS CREDIT BOOM CREDIT BOOMS CREDIT GROWTH CREDIT MARKETS CURRENCY CURRENT ACCOUNT CURRENT ACCOUNT DEFICITS CYCLICAL FLUCTUATIONS DEBT DEFLATION DEPENDENT DEPOSIT DEPOSIT INSURANCE DERIVATIVE DESCRIPTIVE STATISTICS DEVELOPMENT POLICY DISTORTIONS DOMESTIC CREDIT DOMESTIC CURRENCY DOMESTIC DEMAND DUMMY VARIABLE DUMMY VARIABLES ECONOMETRIC ANALYSIS ECONOMETRIC MODELS ECONOMETRICS ECONOMIC ACTIVITY ECONOMIC ENVIRONMENT ECONOMIC GROWTH ECONOMIC RESEARCH ECONOMIC STATISTICS ECONOMICS LITERATURE EMERGING ECONOMIES EMERGING MARKET ECONOMIES EMPIRICAL ANALYSIS EXCHANGE RATE ARRANGEMENT EXCHANGE RATE FLEXIBILITY FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL DISTRESS FINANCIAL FRAGILITY FINANCIAL INSTABILITY FINANCIAL INTEGRATION FINANCIAL INTERMEDIARIES FINANCIAL MARKETS FINANCIAL OPENNESS FINANCIAL REFORMS FINANCIAL SECTOR FINANCIAL SYSTEM FINANCIAL VULNERABILITY FISCAL POLICY FIXED EFFECTS FOREIGN CAPITAL FOREIGN CURRENCY FOREIGN EXCHANGE FUTURE FINANCIAL CRISIS GDP GENERAL EQUILIBRIUM GENERAL EQUILIBRIUM MODEL GLOBAL IMBALANCES GLOBAL LIQUIDITY GLOBALIZATION GROWTH RATE INDUSTRIAL ECONOMIES INFLEXIBLE EXCHANGE RATE REGIMES INTERNATIONAL CAPITAL INTERNATIONAL ECONOMICS INTERNATIONAL FINANCIAL STATISTICS LEADING INDICATORS LEVERAGE LIBERALIZATION LIQUIDITY LOOSE MONETARY POLICY MACROECONOMIC MODEL MACROECONOMIC POLICIES MACROECONOMIC POLICY MACROECONOMICS MONETARY ECONOMICS MONETARY POLICY OVERVALUATION POVERTY REDUCTION PRIVATE CAPITAL PRIVATE CREDIT PROPERTY RIGHTS RANDOM VARIABLE RAPID CREDIT EXPANSION RAPID GROWTH REAL EXCHANGE RATE RECESSION RECESSIONS RISK PREMIA RISK TAKING ROBUSTNESS CHECKS SECURITIES SETTLEMENTS STABILIZATION STANDARD DEVIATION STATISTICAL ANALYSIS SYSTEMIC BANK CRISIS SYSTEMIC BANKING CRISES SYSTEMIC BANKING CRISIS SYSTEMIC CRISES SYSTEMIC RISK TIME-INVARIANT VARIABLES TROUGH UNEMPLOYMENT VOLATILITY VULNERABILITY WEALTH duration analysis Weibull model duration dependence change-points
Online Access:	http://documents.worldbank.org/curated/en/2013/06/17831597/duration-dependence-change-points-likelihood-credit-booms-ending http://hdl.handle.net/10986/15836

Internet

http://documents.worldbank.org/curated/en/2013/06/17831597/duration-dependence-change-points-likelihood-credit-booms-ending
http://hdl.handle.net/10986/15836

Duration Dependence and Change-Points in the Likelihood of Credit Booms Ending

Internet

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