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

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. •The credit-to-GDP gap informs the setting of the countercyclical capital buffer.•The method used to construct th...

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Bibliographic Details
Published inEconomics letters Vol. 192; p. 109245
Main Author Schüler, Yves S.
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.07.2020
Elsevier Science Ltd
Subjects
Artificial intelligence
Band gap
Basel III
Credit
Credit unions
Detrending
econometric models
empirical models
GDP
Gross Domestic Product
Hodrick–Prescott filter
theoretical models
Vibration
Detrending
C10
E32
Hodrick–Prescott filter
E58
G01
Basel III
Online AccessGet full text
ISSN0165-1765
1873-7374
DOI10.1016/j.econlet.2020.109245

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Summary: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. •The credit-to-GDP gap informs the setting of the countercyclical capital buffer.•The method used to construct the gap may induce spurious boom–bust cycles.•I find evidence that the actual gaps are subject to these spurious cycles.
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ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2020.109245