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The interdependence between credit and real business cycles in latin american economies

In this document we estimate credit and GDP cycles for three Latin-American economies and study their relation in the time and frequency domains. Cycles are estimated in order to analyze their medium and short-term frequencies. We find that short-term cyc

Detalles Bibliográficos
Autores Principales: Gómez-González, José Eduardo, Tenjo-Galarza, Fernando, Zárate-Solano, Hector Manuel, Ojeda-Joya, Jair N.
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Banco de la República 2013
Materias:
E44 - Financial Markets and the Macroeconomy
C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
E32 - Business Fluctuations; Cycles
Short and medium-term cycles
Frequency domain
Granger causality
Credit booms and crunches
Recession
Crédito > Colombia > 1990-2000
Crédito > Chile > 1990-2000
Crédito > Perú > 1990-2000
Producto interno bruto > Colombia > 1990-2000
Producto interno bruto > Chile > 1990-2000
Producto interno bruto > Perú > 1990-2000
Ciclos económicos > Colombia > 1990-2000
Ciclos económicos > Chile > 1990-2000
Ciclos económicos > Perú > 1990-2000
Causalidad de Granger > Colombia > 1990-2000
Causalidad de Granger > Perú > 1990-2000
Causalidad de Granger > Chile > 1990-2000
E32 - Fluctuaciones económicas; Ciclos
E44 - Mercados financieros y macroeconomía
C32 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión; representación de espacios de estados
Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/5908
Descripción
Sumario:In this document we estimate credit and GDP cycles for three Latin-American economies and study their relation in the time and frequency domains. Cycles are estimated in order to analyze their medium and short-term frequencies. We find that short-term cyc

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