Anne-Laure Delatte

MAIN RESEARCH AREAS:

RESEARCH PROJECTS/INITIATIVES:

New database on credit procyclicality. Compared with databases used in existing studies, this one includes a much larger set of economies and a longer time horizon. In fact, today, the data available to estimate the credit cycle involve a trade-off between country coverage and frequency. In addition, there are pending methodological issues to estimate credit trend and cyclical components.
To address these limits, we build a new database on credit metrics that relaxes the trade-off and includes credit procyclicality measures along three alternative methods- HP filter, the modified HP filter and the SSA approach.
The credit gaps in our database are statistically consistent with bank credit gaps estimated with BIS data but they have the advantage of being available for 163 countries instead of 43 countries.

SELECTED PUBLICATIONS:

Delatte, A. L., Guillin, A., & Vicard, V. (2022). Grey zones in global finance: The distorted geography of cross-border investments. Journal of International Money and Finance, 120, 102540.
Delatte, A. L., Fouquau, J., & Portes, R. (2017). Regime-dependent sovereign risk pricing during the euro crisis. Review of Finance, 21(1), 363-385.
Bouvatier, V., & Delatte, A. L. (2015). Waves of international banking integration: A tale of regional differences. European Economic Review, 80, 354-373.
Delatte, A. L., Gex, M., & López-Villavicencio, A. (2012). Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis?. Journal of international Money and Finance, 31(3), 481-497.