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.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
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. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@centralbanking.com
More on Macro-prudential
US needs to change bank takeover rules, FDIC official says
Rohit Chopra criticises SF Fed over bank linked to Sam Bankman-Fried firms
SNB raises bank reserve requirements
Calculation formula changed as central bank looks to save on interest payments
Supervisors grapple with the smaller bank dilemma
How are the guardians of stability moving to address risks linked to smaller banks in the aftermath of SVB’s collapse?
Nigerian central bank imposes capital levels on lenders
Move comes after MPC calls for renewed efforts to recapitalise banks
Legislation needed to break non-bank deadlock – BIS’s Borio
Panellists at BoE event highlight array of shortcomings with regulatory framework
BIS paper explores interaction of macro-pru and capital controls
Macro-prudential policy can “leak” at higher levels of financial development, authors find
CGFS draws lessons from 168 years of macro-pru policy
Controlling housing market risks can force authorities into difficult political economy terrain
RBI’s Das warns banks to avoid ‘exuberance’ as credit surges
Indian central bank tightens macro-prudential policy on consumer credit
Most read
- ECB staff speak out against changes to internal survey
- Central bank of the year: Central Bank of Brazil
- French president calls for expanded ECB mandate