Measuring Credit Gaps for Macroprudential Policy

Jan Hannes Lang and Peter Welz

Financial Stability Review, 2017, vol. 1

Abstract: Excessive credit growth and leverage have been key drivers of past financial crises, notably the recent global financial crisis. For the appropriate setting of countercyclical macroprudential policy instruments, it is therefore important to identify periods of excessive credit developments at an early stage. This special feature discusses the standard statistical method for computing credit gaps and compares it with an alternative approach to measuring credit excesses based on fundamental economic factors. Theory-based credit gaps could provide a useful complement to statistical measures of cyclical systemic risk. JEL Classification: G00

Keywords: countercyclical macroprudential policy; excessive credit growth; financial crisis; leverage; systemic risk (search for similar items in EconPapers)
Date: 2017-05
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