Mind the Basel gap

نویسندگان

چکیده

The Basel credit gap, the difference between a country’s credit-to-GDP ratio and its estimated long-term trend, is used as basis for setting countercyclical capital buffers under III regulatory framework. Using international data from BIS, we show that by one-sided HP filter, nearly equivalent to naive 16-quarter change in performs equally well terms of predicting banking crises. We demonstrate near-equivalence deviations trend simple changes occurs when filter applied unit-root process. goal this paper not evaluate performance gap an early-warning-indicator, but rather estimation method unnecessarily complicated.

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ژورنال

عنوان ژورنال: Journal of International Financial Markets, Institutions and Money

سال: 2022

ISSN: ['1042-4431', '1873-0612']

DOI: https://doi.org/10.1016/j.intfin.2022.101605