Appendix 2. Definitions and sources of variables (continued)

|Variable|Definition|Source|
|---|---|---|
|Financial market|||
|Capital flows|Total capital flows, defined as the sum of absolute values of outflows (net acquisition of financial asset,<br>including direct, portfolio, and other assets) and inflows (net incurrence of liabilities, including direct,<br>portfolio, and other liabilities), in current U.S. dollars, taken from the IMF Balance of Payments<br>Statistics (sixth edition). The figures for 2019 show data over the first two quarters of the year. For<br>the historical series, the statistics based on the fifth edition are also used. The series is shown as a<br>percent of GDP,which is taken from the World Bank and PWT 9.1.|Feenstra, Inklaar, and<br>Timmer (2015); IMF;<br>World Bank.|
|Credit|Nominal credit provided by banks and other financial corporations, deflated by the consumer price<br>index (CPI). Data are at a quarterly frequency and shown as annual averages of year-on-year growth<br>of real credit. Nominal credit series is taken from the IMF (International Financial Statistics: IFS),<br>titled claims on private sector (by depository or financial corporations), and the Bank for International<br>Settlements. CPI is taken from the Bank for International Settlements, Haver Analytics, and the IMF.<br>Credit for aggregated groups is computed as follows. First, real credit (in local currency) is converted<br>to constant 2010 U.S. dollars, and then U.S.-dollar real credit in individual countries is aggregated into<br>|Bank for International<br>Settlements, Haver<br>Analytics, IMF.|
||respectivegroups.||
|Equity prices|Share price index, deflated by CPI. Data are at a quarterly frequency and used as annual averages of<br>year-on-year growth of real equity prices. Data are from the IMF (IFS) and Haver Analytics and<br>available as period averages and end-of-period values. The one with longer data availability is used as<br>the main series. Growth in aggregated groups is computed with market-weighted output as a weight.<br>CPI is taken from the Bank for International Settlements,Haver Analytics,and the IMF.|Bank for International<br>Settlements, Haver<br>Analytics, IMF, World<br>Bank.|
|House prices|House (or property) prices, deflated by CPI. Data are at a quarterly frequency and used as annual<br>averages of year-on-year growth of real house prices. Data are from the Bank for International<br>Settlements, Haver Analytics, and OECD. Growth in aggregated groups is computed with market-<br>weighted output as a weight. CPI is taken from the Bank for International Settlements, Haver<br>Analytics,and the IMF.|Bank for International<br>Settlements, Haver<br>Analytics, IMF, OECD,<br>World Bank.|
|Financial<br>conditions|An index of financial conditions, computed as a weighted average of short-term and long-term interest<br>rates, trade-weighted dollar, an index of credit spreads, and the ratio of equity prices to the 10-year<br>average of earnings per share, as explained in Hatzius and Stehn (2018). Higher index numbers reflect<br>tighter financial conditions. Data are at a monthly frequency and used as annual averages of year-on-<br>year growth of the index. Growth in aggregated groups is computed with market-weighted output as a<br>weight.|Bloomberg, Goldman<br>Sachs, World Bank.|
|Inflation|Change in CPI in percent. Data are at a quarterly frequency and used as annual averages of year-on-<br>year percent changes of CPI. The series is taken from the Bank for International Settlements, Haver<br>Analytics, and the IMF. Inflation in aggregated groups is computed with market-weighted output as a<br>weight. In order to eliminate an effect of countries with a history of high inflation, countries whose<br>average inflation over the entire sample period (based on quarterly data) is above the top 20th<br>percentile,are excluded.|Bank for International<br>Settlements, Haver<br>Analytics, IMF, World<br>Bank.|

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