Credit-to-GDP Trends and Gaps by Lender- and Credit-type
Posted: 31 Oct 2015
Date Written: December 3, 2015
Abstract
The one-sided credit-to-GDP gap -- measured as the difference between the level of private nonfinancial sector credit-to-GDP and its one-sided Hodrick-Prescott (HP) filtered trend (with λ=400,000) -- is a prominent variable in the decision-making framework proposed by the BCBS for the Basel III countercyclical capital buffer (CCyB).
Suggested Citation: Suggested Citation
Bassett, William F. and Daigle, Ainsley and Edge, Rochelle M. and Kara, Gazi I., Credit-to-GDP Trends and Gaps by Lender- and Credit-type (December 3, 2015). FEDS Notes No. 2015-12-03 https://doi.org/10.17016/2380-7172.1653, Available at SSRN: https://ssrn.com/abstract=3721670
William F. Bassett (Contact Author)
Board of Governors of the Federal Reserve System ( email )
20th Street and Constitution Avenue NW
Washington, DC 20551
United States
Rochelle M. Edge
Board of Governors of the Federal Reserve System ( email )
20th Street and Constitution Avenue NW
Washington, DC 20551
United States
(202) 452 2339 (Phone)
(202) 736-5638 (Fax)
Gazi I. Kara
Board of Governors of the Federal Reserve System ( email )
20th Street and Constitution Avenue NW
Washington, DC 20551
United States
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