Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/217274
Authors: 
Schüler, Yves
Year of Publication: 
2020
Series/Report no.: 
Bundesbank Discussion Paper No. 28/2020
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.
Subjects: 
Basel III
Hodrick-Prescott filter
detrending
JEL: 
C10
E32
E58
G01
ISBN: 
978-3-95729-715-0
Document Type: 
Working Paper

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