IMF Working Papers

An Extended Quarterly Projection Model: Credit Cycle, Macrofinancial Linkages and Macroprudential Measures: The Case of the Philippines

By Philippe D Karam, Mikhail Pranovich, Jan Vlcek

October 22, 2021

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Philippe D Karam, Mikhail Pranovich, and Jan Vlcek. An Extended Quarterly Projection Model: Credit Cycle, Macrofinancial Linkages and Macroprudential Measures: The Case of the Philippines, (USA: International Monetary Fund, 2021) accessed October 8, 2024

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Summary

We extend a modern practical Quarterly Projection Model to study credit cycle dynamics and risks, focusing on macrofinancial linkages and the role of macroprudential policy in achieving economic and financial stability. We tailor the model to the Philippines and evaluate the model’s properties along several dimensions. The model produces plausible dynamics and sensible forecasts. This along with its simplicity makes it useful for policy analysis. In particular, it should help policymakers understand the quantitative implications of responding to changes in domestic financial conditions, along with other shocks, through the joint use of macroprudential and monetary policies.

Subject: Business cycles, Central bank policy rate, Credit, Credit gaps, Economic growth, Financial sector policy and analysis, Financial services, Macroprudential policy, Money

Keywords: Business cycles, Central bank policy rate, Credit, Credit Cycle, Credit cycle dynamics, Credit gaps, Forecasting and Policy Analysis, Global, Leverage Ratio, Macroprudential policy, Macroprudential Policy, Model property, Monetary Policy, Philippines, Policy analysis, Projection model, Quarterly Projection model, Quarterly Projection Model

Publication Details

  • Pages:

    45

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

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  • Series:

    Working Paper No. 2021/256

  • Stock No:

    WPIEA2021256

  • ISBN:

    9781589068711

  • ISSN:

    1018-5941