We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using … the credit cycle from the micro rating data. We relate this cycle to the business cycle, bank lending conditions, and … financial market variables. In line with earlier studies, these variables appear to explain part of the credit cycle. As our …

A growing body of literature has highlighted two important caveats to the credit-to-GDP gap as advocated by the Bank … for International Settlements (BIS). The first relates to the approach used to normalise credit (i.e., dividing nominal … credit by GDP). In this regard, critics have argued that a normalised measure of credit runs the risk of being affected by …