In Search of Global Determinants of National Credit-to-GDP Gaps

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 sub-periods 2000Q1:2007Q2, 2007Q3:2013Q4, and 2014Q1:2021Q1 based two state-of-the-art methods variable selection in time series framework: one covariate at multiple testing (OCMT) adaptive least absolute shrinkage operator (LASSO). We find that number salient factors tends increase over time, reaching its maximum during post-crisis period. period also marked by pronounced role capturing stance US monetary policy, while preceding sub-periods, significant are credit conditions (the TED spread) world industrial production, respectively. Regardless advanced economies’ appear more dependent than emerging markets. In addition, we country-specific variables which shape susceptibility national factors.