The Interdependence between Credit and Real Business Cycles in Latin American EconomiesJose Gomez-Gonzalez, Jair Ojeda-Joya, Fernando Tenjo Galarza () and Hector Zarate-Solano No 10833, Borradores de Economia from Banco de la Republica Abstract: 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 cycles are usually more volatile than medium-term cycles for credit and GDP in Chile, Colombia and Peru. We also find that credit-cycle peaks in the middle 1990s and middle 2000s precede notable GDP recessions 2 or 3 years later in these countries. Additionally, credit cycles in Latin-American economies tend to cause later movements in economic activity. This effect can be decomposed into two components: first, a negative effect in the case of business-cycle frequencies, and a positive effect in the case of medium-term GDP fluctuations. Keywords: Short and Medium-Term Cycles; Frequency Domain; Granger Causality; Credit Booms and Crunches; Recession. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:col:000094:010833 Access Statistics for this paper More papers in Borradores de Economia from Banco de la Republica |
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