Credit-to-GDP Trends and Gaps by Lender- and Credit-type

Posted: 31 Oct 2015

See all articles by William F. Bassett

William F. Bassett

Board of Governors of the Federal Reserve System

Ainsley Daigle

affiliation not provided to SSRN

Rochelle M. Edge

Board of Governors of the Federal Reserve System

Gazi Kara

Board of Governors of the Federal Reserve System

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

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

Ainsley Daigle

affiliation not provided to SSRN

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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