Credit cycle identification: A Markov-switching application

Detalhes bibliográficos
Autor(a) principal: Santos, João Ramiro Rodrigues Simões dos
Data de Publicação: 2014
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/11723
Resumo: A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
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spelling Credit cycle identification: A Markov-switching applicationCredit cyclesPhase identificationMarkov-switchingA Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsThis project aims to study credit dynamics and to identify phases of credit cycles at the country level. We applied a Markov-switching (MS) autoregressive framework and a MS with regime-invariant macroeconomic variables to a broad concept of credit, domestic credit. We used a sample of 10 developed countries. MS identification power is assessed using smooth probabilities of low growth states, collected as a by-product of models estimation, against historical databases of crisis events. Conclusions support that MS is accurate in identifying credit cycle phases, and that domestic credit is a good variable for such identification. Additionally, Credit Gap, excess growth over GDP and Broad Money contribute positively to the MS predictions.NSBE - UNLRodrigues, Paulo Manuel MarquesRUNSantos, João Ramiro Rodrigues Simões dos2017-03-19T01:30:14Z2014-012014-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/11723TID:201529351enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:46:21Zoai:run.unl.pt:10362/11723Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:20:29.952818Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Credit cycle identification: A Markov-switching application
title Credit cycle identification: A Markov-switching application
spellingShingle Credit cycle identification: A Markov-switching application
Santos, João Ramiro Rodrigues Simões dos
Credit cycles
Phase identification
Markov-switching
title_short Credit cycle identification: A Markov-switching application
title_full Credit cycle identification: A Markov-switching application
title_fullStr Credit cycle identification: A Markov-switching application
title_full_unstemmed Credit cycle identification: A Markov-switching application
title_sort Credit cycle identification: A Markov-switching application
author Santos, João Ramiro Rodrigues Simões dos
author_facet Santos, João Ramiro Rodrigues Simões dos
author_role author
dc.contributor.none.fl_str_mv Rodrigues, Paulo Manuel Marques
RUN
dc.contributor.author.fl_str_mv Santos, João Ramiro Rodrigues Simões dos
dc.subject.por.fl_str_mv Credit cycles
Phase identification
Markov-switching
topic Credit cycles
Phase identification
Markov-switching
description A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
publishDate 2014
dc.date.none.fl_str_mv 2014-01
2014-01-01T00:00:00Z
2017-03-19T01:30:14Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/11723
TID:201529351
url http://hdl.handle.net/10362/11723
identifier_str_mv TID:201529351
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/embargoedAccess
eu_rights_str_mv embargoedAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv NSBE - UNL
publisher.none.fl_str_mv NSBE - UNL
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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repository.mail.fl_str_mv
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