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Egy- és többváltozós szűrők a hitelrés alakulásának meghatározására
[Filters with single or multiple variables in measuring the size of the credit gap]

Author

Listed:
  • Hosszú, Zsuzsanna
  • Körmendi, Gyöngyi
  • Mérő, Bence

Abstract

Tanulmányunkban a magyar hitelpiac ciklikus pozíciójának néhány lehetséges mérési módját hasonlítjuk össze. Három trendszűrő-eljárással de kom po nál juk a magyar GDP-arányos hitelállomány idősorát trendre és ciklikus komponensre (hitelrésre): egyváltozós Hodrick-Prescott-szűrővel, egyváltozós Christiano-Fitzgerald-szűrővel és többváltozós Hodrick-Prescott-szűrővel. A de kom po zí ciót külön végezzük a háztartási és a vállalati szegmens esetében. A három módszer közül más változók információtartalmát is felhasználó többváltozós Hodrick-Prescott-szűrő eredményei tükrözik leginkább a magyarországi hitelezési folyamatokkal kapcsolatos szakértői képet: a 2008-as válság kitöréséig - elsősorban a háztartási devizahitelezésnek köszönhetően - a hitelrés folyamatosan nyílt. A válságot követő alkalmazkodás során a hitelrés zárult, sőt a nagymértékű csökkenés miatt negatív lett az értéke. Journal of Economic Literature (JEL) kód: C30, E32, G28.

Suggested Citation

  • Hosszú, Zsuzsanna & Körmendi, Gyöngyi & Mérő, Bence, 2016. "Egy- és többváltozós szűrők a hitelrés alakulásának meghatározására [Filters with single or multiple variables in measuring the size of the credit gap]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 233-259.
    • Handle: RePEc:ksa:szemle:1616
    DOI: 10.18414/KSZ.2016.3.233
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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