Add on material for: Equilibrium Credit: The Reference Point for Macroprudential Supervisors

Transcription

1 Add on materal for: Equlbrum Credt: The Reference Pont for Macroprudental Supervsors The followng plots provde extra addon nformaton related to the ft of the ARDL regressons as well as wth regards to the evoluton of the credt-to-gdp rato and the trend or potental estmates of GDP and the GDP Deflator for the NMS11 countres that are used n the emprcal equlbrum credt llustraton. The plots for each NMS11 country are arranged n a 4 row by 3 column grd. The frst row shows respectvely, the ft of the ARDL specfcaton of cr t as defned n equaton (6) n the paper, followed by a tme seres plot of the ftted resduals and an estmate of the densty of the resduals. The second row shows estmates of the Basel III HP Flter based credt gaps, our proposed structural credt gap, as well as the 2% and 10% threshold values of Basel III n the frst column. In the second and thrd column cumulatve sums of the ftted resduals and of the square of the ftted resduals are shown wth correspondng 95% error (CI) bounds. The plots n the frst column of the thrd row show the tme seres evoluton of the actual level credt seres, cr t, together wth ftted values from the full long-run equlbrum estmates, e., ĉr t = ˆβ gdp gdp t + ˆβ de f de f t + ˆβ rr rr t + ˆβ sprd sprd t + ˆβ acb acb t (1) shown by the red lne, as well as from the transacton demand relaton only, that s: ĉr t = ˆβ gdp gdp t + ˆβ de f de f t (2) whch s shown by the lght blue lne. The second and the thrd columns of row 3 show the autocorrelaton functon (ACF) of the ftted resduals and squared resduals, wth 95% error bounds shown by the shaded area. The last row shows the credt level seres (cr t left axs) wth supermposed actual and HP fltered potental values of GDP (gdp t and gdp t rght axs) n the frst column, the credt level seres (cr t left axs) wth supermposed actual and HP fltered potental values of the GDP Deflator (de f t and de f t rght axs) n the second column and the credt-to-gdp rato n the thrd column. 1

2 Bulgara (ID 918) HP-Fltered Strutural ( 2%, 10%) Cusum of Resduals 95% CI Cusum of Squared Resduals ĉr t (Ft from full model) ACF of Resduals ACF of Squared Resduals Credt-to-GDP rato Credt (blue) GDP HP-Trend (sold), GDP (dashed) Credt (blue) DEF HP-Trend (sold), DEF (dashed)

3 Czech Republc (ID 935) q3 2003q3 2005q3 2007q3 2009q3 2001q3 2003q3 2005q3 2007q3 2009q HP-Fltered Structural ( 2%, 10%) Cusum of Resduals 95% CI Cusum of Squared Resduals q3 2003q3 2005q3 2007q3 2009q3 ĉr t (Ft from full model) 2001q3 2003q3 2005q3 2007q3 2009q3 2001q3 2003q3 2005q3 2007q3 2009q3 ACF of Resduals ACF of Squared Resduals 2001q3 2003q3 2005q3 2007q3 2009q Credt-to-GDP rato Credt (blue) GDP HP-Trend (sold), GDP (dashed) Credt (blue) DEF HP-Trend (sold), DEF (dashed) q3 2003q3 2005q3 2007q3 2009q3 2001q3 2003q3 2005q3 2007q3 2009q3 2001q3 2003q3 2005q3 2007q3 2009q3

4 Slovak Republc (ID 936) HP-Fltered Structural ( 2%, 10%) Cusum of Resduals 95% CI Cusum of Squared Resduals ĉr t (Ft from full model) ACF of Resduals ACF of Squared Resduals Credt-to-GDP rato Credt (blue) GDP HP-Trend (sold), GDP (dashed) Credt (blue) DEF HP-Trend (sold), DEF (dashed)

5 Estona (ID 939) HP-Fltered Structural ( 2%, 10%) Cusum of Resduals 95% CI Cusum of Squared Resduals ĉr t (Ft from full model) ACF of Resduals ACF of Squared Resduals Credt-to-GDP rato Credt (blue) GDP HP-Trend (sold), GDP (dashed) Credt (blue) DEF HP-Trend (sold), DEF (dashed)

6 Latva (ID 941) HP-Fltered Structural ( 2%, 10%) Cusum of Resduals 95% CI Cusum of Squared Resduals ĉr t (Ft from full model) ACF of Resduals ACF of Squared Resduals Credt-to-GDP rato Credt (blue) GDP HP-Trend (sold), GDP (dashed) Credt (blue) DEF HP-Trend (sold), DEF (dashed)

7 Hungary (ID 944) q1 2000q1 2005q1 2010q1 1995q1 2000q1 2005q1 2010q HP-Fltered Structural ( 2%, 10%) Cusum of Resduals 95% CI Cusum of Squared Resduals q1 2000q1 2005q1 2010q1 ĉr t (Ft from full model) 1995q1 2000q1 2005q1 2010q1 1995q1 2000q1 2005q1 2010q1 ACF of Resduals ACF of Squared Resduals 1995q1 2000q1 2005q1 2010q Credt-to-GDP rato Credt (blue) GDP HP-Trend (sold), GDP (dashed) Credt (blue) DEF HP-Trend (sold), DEF (dashed) q1 2000q1 2005q1 2010q1 1995q1 2000q1 2005q1 2010q1 1995q1 2000q1 2005q1 2010q1

8 Lthuana (ID 946) HP-Fltered Structural ( 2%, 10%) Cusum of Resduals 95% CI Cusum of Squared Resduals ĉr t (Ft from full model) ACF of Resduals ACF of Squared Resduals Credt-to-GDP rato Credt (blue) GDP HP-Trend (sold), GDP (dashed) Credt (blue) DEF HP-Trend (sold), DEF (dashed)

9 Croata (ID 960) HP-Fltered Structural ( 2%, 10%) Cusum of Resduals 95% CI Cusum of Squared Resduals ĉr t (Ft from full model) ACF of Resduals ACF of Squared Resduals Credt-to-GDP rato Credt (blue) GDP HP-Trend (sold), GDP (dashed) Credt (blue) DEF HP-Trend (sold), DEF (dashed)

10 Slovena (ID 961) HP-Fltered Structural ( 2%, 10%) Cusum of Resduals 95% CI Cusum of Squared Resduals ĉr t (Ft from full model) ACF of Resduals ACF of Squared Resduals Credt-to-GDP rato Credt (blue) GDP HP-Trend (sold), GDP (dashed) Credt (blue) DEF HP-Trend (sold), DEF (dashed)

11 Poland (ID 964) HP-Fltered Structural ( 2%, 10%) Cusum of Resduals 95% CI Cusum of Squared Resduals ĉr t (Ft from full model) ACF of Resduals ACF of Squared Resduals Credt-to-GDP rato Credt (blue) GDP HP-Trend (sold), GDP (dashed) Credt (blue) DEF HP-Trend (sold), DEF (dashed)

12 Romana (ID 968) HP-Fltered Structural ( 2%, 10%) Cusum of Resduals 95% CI Cusum of Squared Resduals ĉr t (Ft from full model) ACF of Resduals ACF of Squared Resduals Credt-to-GDP rato Credt (blue) GDP HP-Trend (sold), GDP (dashed) Credt (blue) DEF HP-Trend (sold), DEF (dashed)