Discussion Paper

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


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).

https://doi.org/10.17016/2380-7172.1653

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Bibliographic Information

Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: FEDS Notes

Publication Date: 2015-12-03

Number: 2015-12-03