Bernanke, Ben S. (2017). Federal Reserve Policy in an International Context. Paper presented at the 16th Jacques Polak Annual Research Conference Hosted by the International Monetary Fund. Washington, DC, November 5–6, 2015.
Bianchi, J., & Mendoza, E. G. (2018). Optimal time-consistent macroprudential policy. Journal of Political Economy, 126(2), 588-634.
BIS (2010) Guidance for national authorities operating the countercyclical capital buffer.
Basel Committee on Banking Supervision, Bank of International Settlements, December
BIS (2011) Basel III: a global regulatory framework for more resilient banks and banking systems. Basel Committee on Banking Supervision, Bank of International
Settlements, June
BIS (2021). Underlying Data for Estimation of Credit Gaps. In: Statistics Warehouse.
https://www.bis.org/statistics/c_gaps.htm Accessed on: 01/08/2021
Blanchard, O. (2021). Low Interest Rates: Here to Stay? Conference at Bocconi University, 11/01/2021.
Bordalo, P., Gennaioli, N., & Shleifer, A. (2018). Diagnostic expectations and credit cycles. The Journal of Finance, 73(1), 199-227.
Bordalo, P., Gennaioli, N., La Porta, R., & Shleifer, A. (2020). Expectations of fundamentals and stock market puzzles (No. w27283). National Bureau of Economic Research Bordo, M., Eichengreen, B., Klingebiel, D., & Martinez-Peria, M. S. (2001). Is the crisis
problem growing more severe?. Economic policy, 16(32), 52-82.
Borio, C. (2014). The financial cycle and macroeconomics: What have we learnt?. Journal of Banking & Finance, 45, 182-198.
Borio, C. E., & Drehmann, M. (2009). Assessing the risk of banking crises–revisited. BIS Quarterly Review, March, 29-46.
Borio, C. E., Juselius, M., Disyatat, P., & Drehmann, M. (2016). Monetary policy, the financial cycle and ultralow interest rates. Bank of Finland Research Discussion Paper, (24).
Borio, C., & Zhu, H. (2012). Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism?. Journal of Financial stability, 8(4), 236-251.
Breitung, J., & Eickmeier, S. (2015). Analyzing business cycle asymmetries in a multi-level factor model. Economics Letters, 127, 31–34.
https://doi.org/10.1016/j.econlet.2014.12.001
Brunnermeier, M. K., & Sannikov, Y. (2014). A macroeconomic model with a financial sector. American Economic Review, 104(2), 379-421.
Carvalho, C., Ferrero, A., & Nechio, F. (2016). Demographics and real interest rates:
Inspecting the mechanism. European Economic Review, 88, 208-226.
Castro, C. E., Estrada, Á., & Martínez-Pagés, J. (2016). The countercyclical capital buffer in Spain: an analysis of key guiding indicators. No 1601, Bank of Spain.
Chang, Y., Miller, J. I., & Park, J. Y. (2009). Extracting a common stochastic trend: Theory with some applications. Journal of Econometrics, 150(2), 231-247.
Chen, X., Kontonikas, A., & Montagnoli, A. (2012). Asset prices, credit and the business cycle. Economics Letters, 117(3), 857-861.
Chernenko, S., & Sunderam, A. (2020). Do fire sales create externalities? Journal of Financial Economics, 135(3), 602–628. https://doi.org/10.1016/j.jfineco.2019.08.001
Christiano, L. J., & Fitzgerald, T. J. (2003). The band pass filter. international economic review, 44(2), 435-465.
Chuliá, H., Guillén, M., & Uribe, J. M. (2017). Measuring uncertainty in the stock market.
International Review of Economics & Finance, 48, 18-33.
Claessens, S., Kose, M. A., & Terrones, M. E. (2012). How do business and financial cycles interact? Journal of International Economics, 87(1), 178–190.
https://doi.org/10.1016/j.jinteco.2011.11.008
Cottarelli, C., Dell’Ariccia, G., & Vladkova-Hollar, I. (2005). Early birds, late risers, and sleeping beauties: Bank credit growth to the private sector in Central and Eastern Europe and in the Balkans. Journal of Banking & Finance, 29(1), 83–104.
https://doi.org/10.1016/j.jbankfin.2004.06.017
Coudert, V., & Idier, J. (2016). An early warning system for macro-prudential policy in France.
CPB (2020) Risicorapportage financiële markten 2020. CPB Notitie, juni.
Delong, E. R., Delong, D. M., & Clarke-Pearson, D. L. (1988). Comparing the Areas under Two or More Correlated Receiver Operating Characteristic Curves: A Nonparametric Approach. Biometrics, 44(3), 837–845. https://doi.org/10.2307/2531595
Dembiermont, C., Drehmann, M., & Muksakunratana, S. (2013). How much does the private sector really borrow? A new database for total credit to the private non-financial sector. BIS Quarterly Review March, 55-81.
Detken, C., Weeken, O., Alessi, L., Bonfim, D., Boucinha, M. M., Castro, C., ... & Welz, P.
(2014). Operationalising the countercyclical capital buffer: indicator selection, threshold identification and calibration options (No. 5). ESRB Occasional Paper Series.
Drehmann M., Borio C.E., & Tsatsaronis, K. (2011) Anchoring countercyclical capital buffers:
the role of credit aggregates. International Journal of Central Banking, 7(4):189–240.
Drehmann, M., & Juselius, M. (2012). Do debt service costs affect macroeconomic and financial stability?. BIS Quarterly Review September.
Drehmann, M., & Tsatsaronis, K. (2014). The credit-to-GDP gap and countercyclical capital buffers: questions and answers.
Drehmann, M., & Yetman, J. (2018). Why you should use the Hodrick-Prescott filter–at least to generate credit gaps (No. 744). Bank for International Settlements.
Drehmann, M., & Yetman, J. (2020). Which credit gap is better at predicting financial crises?
A comparison of univariate filters (No. 878). Bank for International Settlements.
Drehmann, M., Borio, C. E., & Tsatsaronis, K. (2012). Characterising the financial cycle: don't lose sight of the medium term! (No. 380). Bank for International Settlements.
Drehmann, M., Borio, C. E., Gambacorta, L., Jimenez, G., & Trucharte, C. (2010).
Countercyclical capital buffers: exploring options (No. 317). Bank for International Settlements.
Duchi, F., & Elbourne, A. (2016). Credit supply shocks in the Netherlands. Journal of Macroeconomics, 50, 51-71.
Edge, R. M., & Meisenzahl, R. (2011). The unreliability of credit-to-GDP ratio gaps in real-time: Implications for countercyclical capital buffers. International Journal of Central Banking, 7(4), 261-298.
Ehrlich, I., & Becker, G. S. (1972). Market insurance, insurance, and self-protection. Journal of political Economy, 80(4), 623-648.
Erdenetsogt, A., & Kallinterakis, V. (2016). Investors’ herding in frontier markets: Evidence from Mongolia. In Handbook of Frontier Markets (pp. 233-249). Academic Press.
European Central Bank (2019). Anticipating the bust: a new cyclical system risk indicator to assess the likelihood and severity of fianncial crises. Occasional Paper Series, No 219.
Fama, E. F. (1970). Session topic: stock market price behavior. The Journal of Finance, 25(2), 383-417.
Farhi, E., & Werning, I. (2016). A theory of macroprudential policies in the presence of nominal rigidities. Econometrica, 84(5), 1645-1704.
Fisher, I. (1933). The debt-deflation theory of great depressions. Econometrica: Journal of the Econometric Society, 1(4), 337-357.
Fostel, A., & Geanakoplos, J. (2008). Leverage cycles and the anxious economy. American Economic Review, 98(4), 1211-44.
Gabriel, J., Steven, O., José-Luis, P., & Jesús, S. (2014). Hazardous Times for Monetary Policy:
What Do 23 Million Loans Say about the Impact of Monetary Policy on Credit Risk-Taking?. Econometrica, 82(2), 463-505.
Galan, J. (2019). Measuring credit-to-gdp gaps. The hodrick-prescott filter revisited. The Hodrick-Prescott Filter Revisited (May 8, 2019). Banco de Espana Occasional Paper, (1906).
Galán, J. E., & Mencía, J. (2021). Model-based indicators for the identification of cyclical systemic risk. Empirical Economics, 1-33.
Galati, G., Hindrayanto, I., Koopman, S. J., & Vlekke, M. (2016). Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area. Economics Letters, 145, 83-87.
Geanakoplos, J. (2010). The Leverage Cycle. NBER Macroeconomics Annual, 24(1), 1–66.
https://doi.org/10.1086/648285
Geanakoplos, J. (2010). The leverage cycle. NBER macroeconomics annual, 24(1), 1-66 Gertler, M., & Bernanke, B. (1987). Banking and macroeconomic equilibrium. In New
approaches to monetary economics. Cambridge University Press.
Gertler, M., & Bernanke, B. (1989). Agency costs, net worth and business fluctuations.
In Business cycle theory. Edward Elgar Publishing Ltd.
Gertler, M., & Karadi, P. (2015). Monetary Policy Surprises, Credit Costs, and Economic Activity. American Economic Journal. Macroeconomics, 7(1), 44–76.
https://doi.org/10.1257/mac.20130329
Goldstein, I., Jiang, H., & Ng, D. T. (2017). Investor flows and fragility in corporate bond funds. Journal of Financial Economics, 126(3), 592–613.
https://doi.org/10.1016/j.jfineco.2016.11.007
Goodhart, C., & Hofmann, B. (2008). House prices, money, credit, and
the macroeconomy. Oxford Review of Economic Policy, 24(1), 180–205.
https://doi.org/10.1093/oxrep/grn009
Goodhart, C.A.E. (1975a) ‘Monetary Relationships: A View from Threadneedle Street’ in Papers in Monetary Economics, Volume I, Reserve Bank of Australia, 1975. OR Goodhart, C.A.E. (1975a) ‘Problems of Monetary Management: The UK Experience’
in Papers in Monetary Economics, Volume I, Reserve Bank of Australia, 1975. => for page 16
Gorton, G., & Ordoñez, G. (2016). Fighting crises (No. w22787). National Bureau of Economic Research.
Greenwood, R., & Hanson, S. G. (2013). Issuer quality and corporate bond returns. The Review of Financial Studies, 26(6), 1483-1525.
Greenwood, R., Hanson, S., & Jin, L. J. (2019). Reflexivity in Credit Markets.
https://doi.org/10.3386/w25747.
Greenwood, R., Hanson, S., & Stein, J. C. (2010). A Gap-Filling Theory of Corporate Debt Maturity Choice. The Journal of Finance (New York), 65(3), 993–1028.
https://doi.org/10.1111/j.1540-6261.2010.01559.x
Greenwood, R., Stein, J. C., Hanson, S. G., & Sunderam, A. (2017). Strengthening and Streamlining Bank Capital Regulation. Brookings Papers on Economic
Activity, 2017(2), 479–544. https://doi.org/10.1353/eca.2017.0020
Gromb, D., & Vayanos, D. (2002). Financially Constrained Arbitrage and the Cross-section of Market Liquidity.
Hall, R. E. (2011). The long slump. American Economic Review, 101(2), 431-69.
Hamilton, J. D. (2018). Why you should never use the Hodrick-Prescott filter. Review of Economics and Statistics, 100(5), 831-843.
Hanson, S. G., & Stein, J. C. (2015). Monetary policy and long-term real rates. Journal of Financial Economics, 115(3), 429-448.
Hanson, S. G., Kashyap, A. K., & Stein, J. C. (2011). A macroprudential approach to financial regulation. Journal of economic Perspectives, 25(1), 3-28.
Harvey, A. C. (1989). Forecasting, structural time series models, and the Kalman filter.
Cambridge, Massachussetts ;: Cambridge University Press.
Hristov, N., Hülsewig, O., & Wollmershäuser, T. (2012). Loan supply shocks during the financial crisis: Evidence for the Euro area. Journal of International Money and Finance, 31(3), 569–592. https://doi.org/10.1016/j.jimonfin.2011.10.007 Iacoviello, M. (2005). House prices, borrowing constraints, and monetary policy in the
business cycle. American economic review, 95(3), 739-764.
Jermann, U., & Quadrini, V. (2012). Macroeconomic Effects of Financial Shocks. The
American Economic Review, 102(1), 238–271. https://doi.org/10.1257/aer.102.1.238 Johansen, S. (1995). Likelihood-based inference in cointegrated vector autoregressive
models. Oxford University Press.
Jokipii, T., Nyffeler, R., & Riederer, S. (2020). Exploring BIS credit-to-GDP gap critiques: the Swiss case (No. 2020-19). Swiss National Bank.
Jordà, O., M. Schularick, and A. M. Taylor (2015a). Betting the house. Journal of International Economics 96, S2–S18.
Jordà, Ò., Schularick, M., & Taylor, A. M. (2013). When credit bites back. Journal of Money, Credit and Banking, 45(s2), 3-28.
Jordà, Ò., Schularick, M., & Taylor, A. M. (2015b). Leveraged bubbles. Journal of Monetary Economics, 76, S1–S20. https://doi.org/10.1016/j.jmoneco.2015.08.005
Jordà, Ò., Schularick, M., & Taylor, A. M. (2017). Macrofinancial History and the New Business Cycle Facts. NBER Macroeconomics Annual, 31(1), 213–263.
https://doi.org/10.1086/690241
Justiniano, A., Primiceri, G. E., & Tambalotti, A. (2015). Household leveraging and deleveraging. Review of Economic Dynamics, 18(1), 3-20.
Kahneman, D., & Tversky, A. (1972). Subjective probability: A judgment of representativeness. Cognitive psychology, 3(3), 430-454.
Keynes, J. (1936), The General Theory of Employment, Interest, and Money, New York:
Harcourt, Brace & World.
Kindleberger, C. P. (1978). Manias, panics, and crashes : a history of financial crises . London [etc: Macmillan.
Kirti, D. (2020). Lending standards and output growth. Place of publication not identified:
International Monetary Fund.
Kiyotaki, N., & Moore, J. (1997). Credit cycles. Journal of political economy, 105(2), 211-248.
Knight, F. H. (1921). Risk, uncertainty and profit (Vol. 31). Houghton Mifflin.
Koopman, S. J., & Lucas, A. (2005). Business and default cycles for credit risk. Journal of Applied Econometrics (Chichester, England), 20(2), 311–323.
https://doi.org/10.1002/jae.833 => Old referencing: Lucas A, Koopman SJ (2005) Business and default cycles for credit risk. J Appl Econ 20(2):311–323
Korinek, A., & Simsek, A. (2016). Liquidity trap and excessive leverage. American Economic Review, 106(3), 699-738.
Krishnamurthy, A., & Muir, T. (2020). How Credit Cycles across a Financial Crisis.
https://doi.org/10.3386/w23850
Krznar, I., & Matheson, T. (2017). Financial and Business Cycles in Brazil. IMF Working Paper, 17(12), 1–. https://doi.org/10.5089/9781475571042.00
Lang, J. H., Izzo, C., Fahr, S., & Ruzicka, J. (2019). Anticipating the bust: a new cyclical systemic risk indicator to assess the likelihood and severity of financial crises. ECB Occasional Paper, (219).
Lang, J. H., Izzo, C., Fahr, S., & Ruzicka, J. (2019). Anticipating the bust: a new cyclical systemic risk indicator to assess the likelihood and severity of financial crises. 219 / February 2019. European Central Bank.
Lang, J.H., & Welz, P. (2018). Semi-structural credit gap estimation. 2194 / vember 2018.
European Central Bank..
Liu, G., & Molise, T. (2021). The effectiveness of the counter-cyclical loan-to-value
regulation: Generic versus sector-specific rules. International Review of Economics &
Finance, 72, 270-288.
Lo Duca, M., Koban, A., Basten, M., Bengtsson, E., Klaus, B., Kusmierczyk, P., ... & Peltonen, T. A. (2017). A new database for financial crises in European countries: ECB/ESRB EU crises database. ECB occasional paper, (194).
Lo Duca, M., Koban, A., Basten, M., Bengtsson, E., Klaus, B., Kusmierczyk, P., … Peltonen, T.
(2017). A new database for financial crises in European countries: ECB/ESRB EU crises database. 13 / July 2017.
Lopez-Salido, D., Stein, J. C., & Zakrajsek, E. (2017). Credit-Market Sentiment and the Business Cycle. The Quarterly Journal of Economics, 132(3), 1373–1426.
https://doi.org/10.1093/qje/qjx014
Lorenzoni, G. (2008). Inefficient credit booms. The Review of Economic Studies, 75(3), 809-833.
Mian, A., Verner, E., & Sufi, A. (2017). Household Debt and Business Cycles Worldwide. The Quarterly Journal of Economics, 132(4), 1755–1817.
https://doi.org/10.1093/qje/qjx017
Minsky, H. P. (1977). The Financial Instability Hypothesis: An Interpretation of Keynes and an Alternative to“Standard” Theory. Challenge (White Plains), 20(1), 20–27.
https://doi.org/10.1080/05775132.1977.11470296
Minsky, H. P. (1978). The financial instability hypothesis: A restatement. Thames Polytechnic.
Minsky, H. P. (1995). Longer waves in financial relations: financial factors in the more severe depressions II. Journal of Economic Issues, 29(1), 83-96.
Minsky, H.P. (1986). Stabilizing an Unstable Economy. New Haven: Yale University Press.
Minsky, H.P. (1991). Financial crises: Systemic or idiosyncratic. (Working Paper No. 51).
SSRN. https://doi.org/10.2139/ssrn.171533
Myerson, R. B. (2012). A model of moral-hazard credit cycles. Journal of Political Economy, 120(5), 847-878.
Pesaran MH, Shin Y (1999a) An autoregressive distributed lag modeling approach to cointegration analysis. In: Strom S, Holly A, Diamond P (eds) Centennial volume of rangar frisch. Cambridge University Press, Cambridge
Pesaran, M. H., & Shin, Y. (1999). An autoregressive distributed lag modelling approach to cointegration analysis.
Punzi, M. T., & Rabitsch, K. (2018). Effectiveness of macroprudential policies under borrower heterogeneity. Journal of International Money and Finance, 85, 251-261.
Rabobank (2009). Recessie begin jaren tachtig. Raboresearch.
Rajan, R.G. (2005). Has Financial Development Made the World Riskier? In Proceedings of the Federal Reserve Bank of Kansas City, 313–369.
Ravn, M. O., & Uhlig, H. (2002). On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations. The Review of Economics and Statistics, 84(2), 371–376.
https://doi.org/10.1162/003465302317411604
Reinhart, C. M., & Rogoff, K. (2009). This time is different: eight centuries of financial folly.
Princeton, NJ [etc: Princeton University Press.
Reinhart, C., & Rogoff, K. (2012). Causes of Financial Crises Past and Present: The Role of the This Time is Different Syndrome.
Repullo, R., & Saurina Salas, J. (2011). The countercyclical capital buffer of Basel III: A critical assessment. CEPR Discussion Paper No. DP8304.
Rey, H. (2015). Dilemma not trilemma: the global financial cycle and monetary policy independence (No. w21162). National Bureau of Economic Research.
Richter, B., Schularick, M., & Wachtel, P. (2021). When to Lean against the Wind. Journal of Money, Credit and Banking, 53(1), 5–39. https://doi.org/10.1111/jmcb.12701 Rünstler, G., & Vlekke, M. (2018). Business, housing, and credit cycles. Journal of Applied
Econometrics (Chichester, England), 33(2), 212–226.
https://doi.org/10.1002/jae.2604
Scharfstein, D. S., & Stein, J. C. (1990). Herd behavior and investment. The American economic review, 465-479.
Schmelzing, P. (2021). Eight centuries of global real interest rates. R–G, and the
‘suprasecular’decline, 1311-2018.
Schularick, M., & Taylor, A. M. (2012). Credit booms gone bust: Monetary policy, leverage cycles, and financial crises, 1870-2008. American Economic Review, 102(2), 1029-61.
Schüler, Y. S. (2018). Detrending and financial cycle facts across G7 countries: Mind a spurious medium term!.
Schüler, Y. S., Hiebert, P. B., & Peltonen, T. A. (2015). Characterising the financial cycle: a multivariate and time-varying approach. 1846 / 2015.
Schüler, Yves S.; Hiebert, Paul H.; Peltonen, Tuomas A. (2017) : Coherent financial cycles for G-7 countries: Why extending credit can be an asset, ESRB Working Paper Series, No.
43, ISBN 978-92-95210-05-9, European Systemic Risk Board (ESRB), European System of Financial Supervision, Frankfurt a. M.,
Shleifer, A., & Vishny, R. W. (1997). The limits of arbitrage. The Journal of finance, 52(1), 35-55.
Slovik, Patrick, (2011), Market uncertainty and market instability, p. 430-435 in Settlements, Bank for International eds., Proceedings of the IFC Conference on , vol. 34, Bank for International Settlements.
Stein, J. (2014). Incorporating Financial Stability Considerations into a Monetary Policy Framework: a speech at the International Research Forum on Monetary Policy, Washington, DC, March 21, 2014 (No. 796). Board of Governors of the Federal Reserve System (US).
Stein, J. C. (2012). Monetary Policy As Financial Stability Regulation. The Quarterly Journal of Economics, 127(1), 57–95. https://doi.org/10.1093/qje/qjr054
Stein, J. C. (2012). Monetary policy as financial stability regulation. The Quarterly Journal of Economics, 127(1), 57-95.
Stein, J. C. (2013, February). Overheating in credit markets: origins, measurement, and policy responses. In Speech given to the symposium on Restoring Household Financial Stability After the Great Recession, Federal Reserve Bank of St. Louis, St. Louis,
Missouri, February (Vol. 7).
Stein, J. C. (2021). Can Policy Tame the Credit Cycle?. IMF Economic Review, 69(1), 5-22.