"Private sector credit as a share of gross domestic product (learn more) [in Asia] has surged over the past few years and is now at an all-time high," the research note said.

The rise in credit is most worrying in Hong Kong, Vietnam and China, Capital Economics said.

Although it is normal in developing economies and financial sectors of developing economies for credit to rise as a proportion of GDP, growth should not be fully charged on credit, as was the case in Ireland and the Baltic countries in the years before the 2008 financial crisis.

Capital Economics said that the "credit explosion" in Hong Kong is worryingly similar to the situation in Ireland prior to the financial crisis, when the Irish economy expanded rapidly due to a low corporate tax rate, low European Central Bank interest rates, and other factors which led to an expansion of credit and a property bubble.

House prices in Hong Kong have surged in the past years because of strong lending growth. Capital Economics said that house prices will have to fall by 30 percent if the market wants to return to balance.

Capital Economics also warned against credit growth in Vietnam and China. "Although credit growth in Vietnam and China has been less alarming, it has still been very strong," the note said.

Capital Economics worried that rapid lending growth in China has led to a sharp rise in capacity in the manufacturing sector which could be a blow to medium-term growth prospects.

Vietnam's rapid growth in lending over the past few years fueled a property bubble which is now bursting as property prices are falling, non-performing loans are rising sharply, credit growth has slumped and GDP growth has weakened.