credit –to- gdp gap as an early warning indicator of banking stress in albania

Clicks: 192
ID: 185277
2017
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Abstract
This paper investigates the performance of credit-to-GDP gap as a potential early warning indicator of systemic banking distress in the case of Albania. Following the “signal extraction approach” by Kaminsky and Reinhart (1999), we test the early warning abilities of indicators of credit-to-GDP gap for total credit to private sector, credit to households and credit to firms, computed using one sided HP filter with different smoothing parameters. These indicators are tested upon various thresholds and time horizons. We f nd that credit to GDP gap for total credit to private sector, computed using HP filter 25000 or 400000 work best as EWI in terms of our evaluation criteria and up to years ahead of a potential episode of distress or crisis.
Reference Key
koillari2017europeancredit Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ;Odeta Koçillari
Journal journal of cosmetic dermatology
Year 2017
DOI
DOI not found
URL
http://iipccl.org/wp-content/uploads/2017/01/148-159.pdf
Keywords
lawsocial sciences

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