How Should Credit Gaps Be Measured? : An Application to European Countries /
Assessing when credit is excessive is important to understand macro-financial vulnerabilities and guide macroprudential policy. The Basel Credit Gap (BCG) - the deviation of the credit-to-GDP ratio from its long-term trend estimated with a one-sided Hodrick-Prescott (HP) filter-is the indicator pref...
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| Tác giả khác: | , , |
| Định dạng: | Tạp chí |
| Ngôn ngữ: | English |
| Được phát hành: |
Washington, D.C. :
International Monetary Fund,
2020.
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| Loạt: | IMF Working Papers; Working Paper ;
No. 2020/006 |
| Truy cập trực tuyến: | Full text available on IMF |
| Tóm tắt: | Assessing when credit is excessive is important to understand macro-financial vulnerabilities and guide macroprudential policy. The Basel Credit Gap (BCG) - the deviation of the credit-to-GDP ratio from its long-term trend estimated with a one-sided Hodrick-Prescott (HP) filter-is the indicator preferred by the Basel Committee because of its good performance as an early warning of banking crises. However, for a number of European countries this indicator implausibly suggests that credit should go back to its level at the peak of the boom after the credit cycle turns, resulting in large negative gaps that might delay the activation of macroprudential policies. We explore two different approaches-a multivariate filter based on economic theory and a fundamentals-based panel regression. Each approach has pros and cons, but they both provide a useful complement to the BCG in assessing macro-financial vulnerabilities in Europe. |
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| Mô tả sách: | <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required |
| Mô tả vật lý: | 1 online resource (41 pages) |
| Định dạng: | Mode of access: Internet |
| số ISSN: | 1018-5941 |
| Truy cập: | Electronic access restricted to authorized BRAC University faculty, staff and students |