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On the credit-to-GDP gap and spurious medium-term cycles

Yves Schüler

No 28/2020, Discussion Papers from Deutsche Bundesbank

Abstract: The Basel III framework advises considering a reference indicator at the country level to guide the setting of the countercyclical capital buffer: the credit-to-GDP gap. In this paper, I provide empirical evidence suggesting that the credit-to-GDP gap is subject to spurious medium-term cycles, i.e. artificial boom-bust cycles with a maximum duration of around 40 years.

Keywords: Basel III; Hodrick-Prescott filter; detrending (search for similar items in EconPapers)
JEL-codes: C10 E32 E58 G01 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-ban, nep-fdg, nep-mac, nep-ore and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdps:282020

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