An Anatomy Of Credit Booms: Evidence From Macro Aggregates And Micro Data

No 14049, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper proposes a methodology for measuring credit booms and uses it to identify credit booms in emerging and industrial economies over the past four decades. In addition, we use event study methods to identify the key empirical regularities of credit booms in macroeconomic aggregates and micro-level data. Macro data show a systematic relationship between credit booms and economic expansions, rising asset prices, real appreciations, widening external deficits and managed exchange rates. Micro data show a strong association between credit booms and firm-level measures of leverage, firm values, and external financing, and bank-level indicators of banking fragility. Credit booms in industrial and emerging economies show three major differences: (1) credit booms and the macro and micro fluctuations associated with them are larger in emerging economies, particularly in the nontradables sector; (2) not all credit booms end in financial crises, but most emerging markets crises were associated with credit booms; and (3) credit booms in emerging economies are often preceded by large capital inflows but not by financial reforms or productivity gains.

JEL-codes: E32 E44 E51 F3 G21 (search for similar items in EconPapers)
Date: 2008-05
New Economics Papers: this item is included in nep-ban, nep-cba and nep-mac
Note: IFM
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Citations: View citations in EconPapers (582)

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Related works:
Working Paper: An anatomy of credit booms: evidence from macro aggregates and micro data (2008)
Working Paper: An Anatomy of Credit Booms: Evidence From Macro Aggregates and Micro Data (2008)
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