BIS economists test fixes for credit-to-GDP gap
Measure has drawbacks as early warning sign, but proposed solutions have problems, authors find
A working paper from the Bank for International Settlements tests several possible methods to improve the baseline credit-to-GDP gap’s effectiveness as an early warning indicator.
Mathias Drehmann and James Yetman acknowledge that credit-to-GDP gaps have drawbacks, despite their use in frameworks for setting the Basel III counter-cyclical capital buffer.
The Hodrick-Prescott filter used in the measure’s construction can create “spurious dynamics”, they say. The HP filter also suffers from “end
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@centralbanking.com or view our subscription options here: http://subscriptions.centralbanking.com/subscribe
You are currently unable to print this content. Please contact info@centralbanking.com to find out more.
You are currently unable to copy this content. Please contact info@centralbanking.com to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@centralbanking.com
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@centralbanking.com
More on Macro-prudential
Basel Committee to build ‘day-to-day’ supervision toolkit
“Suite of practical tools” will draw on lessons learned from 2023’s banking turmoil
ECB vice-president warns of US AI bubble
Now is not the time to deregulate banks, says Luis de Guindos
Finma to revise UBS’s recovery and emergency plans
Swiss regulator suspends annual plan approval because of “obstacles” created by Credit Suisse merger
Opposing Basel III is ‘short-term thinking’ – DNB’s Klaas Knot
Lenders should not ask governments to water down proposals, says Dutch central bank governor
European banks warming to AT1 – National Bank of Denmark study
Lenders that rely on additional tier 1 capital are less capitalised, says new research
Macro-pru should interact with other policies – Chile’s Costa
Governor calls for joined-up thinking as Santiago hosts FSB Americas group meeting
Lessons learned on macro-pru policies
Tools are proving their worth although use cases vary by country; role in over-arching frameworks remains a challenge
‘Unpredictable’ risk driven by AI, geopolitics – Lagarde, Buch, Rehn
European supervisors call for caution – and more authority – at ESRB annual conference