Scientific and methodological approaches to the credit cycle measurement

Zherdetska Liliia
Odessa National Economic University, E-mail:lzherdetska@gmail.com

Cite this article:

Zherdetska, L. (2016). Scientific and methodological approaches to the credit cycle measurement. Ed.: М.D. Baldzhy (ed.-in-ch.) and others [Systema pensiinoho zabezpechennia Ukrainy ta yevrointehratsiini protsesy; za red.: М. D. Baldzhy (gol. red.)], Scientific Bulletin of the Odessa National Economic University (ISSN 2313-4569), Odessa National Economics University, Odessa, No. 9 (241), pp. 85-98.

Abstract

The economic concept of "credit cycle" was defined. The credit cycle phases were identified. The main indicators of the credit cycle assessment were defined. They are dynamics private sector lending (loans to customers); the ratio of credit to GDP; loans per capita. To assess the key parameters of credit cycles (incidence, magnitude and duration) the Hodrick Prescott filter was used. The Hodrick Prescott filter distinguishes cyclical and trend components of the dynamics of the studied parameters. Using The Hodrick Prescott for credit cycles measurement in the banking system of Ukraine allowed to justify its quantitative indicators and key parameters. It was proved that the best credit cycle describes the dynamics of the private sector lending, the incidence of the credit boom occurred in 2005, the maximum rate associated with 2008, and the duration of the last credit boom was 4 years.

Keywords

Credit cycles, credit boom, Credit Crunch, Hodrik-Prescott filter, the hypothesis of institutional memory.

JEL classification: R400

UD classification: 336.71:338.124.4:330.31

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