Measuring non-performing loans during (and after) credit booms

Here you will find GAUSS procedures to construct the boom-adjusted index of non-performing loans.

The current version of the program uses the example time-series of the NPL ratio (non-performing loan ratio) stored in an Excel file and writes the adjusted NPL index in the same file next to the original series.

Adjusting the code to your own data should be relatively easy, but do not hesitate to contact me in case of problems.