Arbeitspapier
Financial crises, macroprudential policy and the reliability of credit-to-GDP gaps
The Basel III regulation explicitly prescribes the use of Hodrick-Prescott filters to estimate credit cycles and calibrate countercyclical capital buffers. However, the filter has been found to suffer from large ex-post revisions, raising concerns on its fitness for policy use. To investigate this problem we study credit cycles in a panel of 26 countries between 1971 and 2018. We reach two conclusions. The bad news is that the limitations of the one-side HP filter are serious and pervasive. The good news is that they can be easily mitigated. The filtering errors are persistent and hence predictable. This can be exploited to construct real-time estimates of the cycle that are less subject to ex-post revisions, forecast financial crises more reliably, and stimulate the build-up of bank capital before a crisis.
- ISBN
-
978-92-9472-178-5
- Sprache
-
Englisch
- Erschienen in
-
Series: ESRB Working Paper Series ; No. 114
- Klassifikation
-
Wirtschaft
Business Fluctuations; Cycles
Financial Crises
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
Hodrick-Prescott filter
credit cycle
macroprudential policy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Alessandri, Piergiorgio
Bologna, Pierluigi
Galardo, Maddalena
- Ereignis
-
Veröffentlichung
- (wer)
-
European Systemic Risk Board (ESRB), European System of Financial Supervision
- (wo)
-
Frankfurt a. M.
- (wann)
-
2021
- DOI
-
doi:10.2849/200497
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Alessandri, Piergiorgio
- Bologna, Pierluigi
- Galardo, Maddalena
- European Systemic Risk Board (ESRB), European System of Financial Supervision
Entstanden
- 2021
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