2022
DOI: 10.3390/risks10120233
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In Search of Global Determinants of National Credit-to-GDP Gaps

Abstract: This paper seeks to identify the most important global drivers of credit-to-GDP gaps for 35 countries. The analysis is performed on a country-by-country basis for the sub-periods 2000Q1:2007Q2, 2007Q3:2013Q4, and 2014Q1:2021Q1 and is based on two state-of-the-art methods for variable selection in the time series framework: the one covariate at a time multiple testing (OCMT) and adaptive least absolute shrinkage and selection operator (LASSO). We find that the number of salient global factors tends to increase … Show more

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