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 in:	Economics letters Vol. 192; p. 109245
Main Author:	Schüler, Yves S.
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 01-07-2020 Elsevier Science Ltd
Subjects:	Artificial intelligence Band gap Basel III Credit Credit unions Detrending GDP Gross Domestic Product Hodrick–Prescott filter Vibration Detrending C10 E32 Hodrick–Prescott filter E58 G01 Basel III
Online Access:	Get full text
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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.
ISSN:	0165-1765 1873-7374
DOI:	10.1016/j.econlet.2020.109245