Arbeitspapier
On the long-run calibration of the credit-to-GDP gap as a banking crisis predictor
The trend deviation of the Credit-to-GDP ratio ("Basel gap") is a widely used early warning indicator of banking crises. It is calculated with the one-sided Hodrick-Prescott filter using an extremely large value of the smoothing parameter λ. We recalibrate the smoothing parameter with panel data covering almost one and a half centuries and 15 countries. The optimal λ is found to be much lower than previously suggested. The 2008 crisis does not dominate the results. The long sample almost eliminates filter initialisation problems.
- ISBN
-
978-952-323-264-8
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Finland Research Discussion Papers ; No. 6/2019
- Klassifikation
-
Wirtschaft
Financial Crises
Financial Markets and the Macroeconomy
Economic History: Financial Markets and Institutions: General, International, or Comparative
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kauko, Karlo
Tölö, Eero
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
2019
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kauko, Karlo
- Tölö, Eero
- Bank of Finland
Entstanden
- 2019
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