Credit-to-GDP Trends and Gaps by Lender-and Credit-type
William F. Bassett,
Rochelle Edge () and
Gazi Kara ()
No 2015-12-03, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)
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).
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