Macroprudential policy stance assessment: the case of Croatia

Škrinjarić, Tihana

doi:10.3326/pse.48.4.3.

462
Views

60
Downloads

Macroprudential policy stance assessment: the case of Croatia

Tihana Škrinjarić*

Download citation

https://doi.org/10.3326/pse.48.4.3

FULL ARTICLE

FIGURES & DATA

REFERENCES

CROSSMARK POLICY

METRICS

LICENCING

PDF

Table 1
Financial vulnerabilities variables

Abbreviation	Description	Transformation
C2GDP gap	Credit to GDP gap	Hodrick-Prescott filter gap, smoothing parameter for (narrow) credit series is 125K, for GDP is 1.600
Diff C2GDP ratio	Differenced credit to GDP ratio	One year difference of the (narrow) credit to GDP ratio
Diff Narrow credit	Differenced values of narrow credit	One year difference
d-SRI (ECB)	Domestic systemic risk indicator	See Lang et al. (2019)
ICSR (HR)	Indicator of Cyclical Systemic Risks	See Škrinjarić (2022, 2023a)
2y Diff Narrow credit	2-year differenced narrow credit	–
2y Diff C2GDP ratio	2-year differenced credit to GDP ratio	–
Diff ICSR (HR)	Differenced ICSR	–
Growth rate Narrow credit	One year growth rate of narrow credit	–

Source: Author.

Table 2
AIC values of several model specifications

Model	M1	M2	M3	M4
AIC MPI	241.23	236.14	234.02	234.88
AIC	175.57	171.90	169.65	171.36

Source: Author’s calculation.

Table 3
UC test results (p-values) for all three models

Model	M1	M2	M3
10^th percentile	0.54	0.81	0.43
Median	0.77	0.76	0.63

Source: Author’s calculation.

Crossmark is a multi-publisher initiative from Crossref to provide a standard way for readers to locate the current version of a piece of content. By applying the Crossmark logo, the Institute of Public Finance is committing to maintaining the content it publishes and to alerting readers to changes if and when they occur.

Clicking on the Crossmark logo will tell you the current status of a document and may also give you additional publication record information about the document.

For more details see IPF Crossmark policy page.

December, 2024
IV/2024

Petar Sorić, Mirjana Čižmešija
Assessing uncertainty and its effects on the public sector: Editors’ introduction to the thematic issue of Public Sector Economics

Marija Hruška, Mirjana Čižmešija
Traditional or social media: which capture employment better?

Tihana Škrinjarić
Macroprudential policy stance assessment: the case of Croatia

Marijana Andrijić
Uncertainty, populism and foreign direct investment: the state of play in economic research

Enkeleda Lulaj
Thriving amidst uncertainty: a financial blueprint for the public budget

Gent Sejko, Altin Tanku
Central bank balance sheet and inflation in a euroised small open economy: a cointegrated SVAR analysis