Baba, Chikako; Dell'Erba, Salvatore; Detragiache, Enrica; … - 2020
Assessing when credit is excessive is important to understand macro-financial vulnerabilities and guide macroprudential policy. The Basel Credit Gap (BCG) - the deviation of the credit-to-GDP ratio from its long-term trend estimated with a one-sided Hodrick-Prescott (HP) filter-is the indicator...