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The Basel III regulation explicitly prescribes the use of Hodrick-Prescott filters to estimate credit cycles and calibrate countercyclical capital buffers. However, the filter has been found to suffer from large ex-post revisions, raising concerns on its fitness for policy use. To investigate...
Persistent link: https://www.econbiz.de/10012653451
Persistent link: https://www.econbiz.de/10013254665
The Basel III regulation explicitly prescribes the use of Hodrick-Prescott filters to estimate credit cycles and calibrate countercyclical capital buffers. However, the filter has been found to suffer from large ex-post revisions, raising concerns on its fitness for policy use. To investigate...
Persistent link: https://www.econbiz.de/10012423691
Persistent link: https://www.econbiz.de/10012315329
Persistent link: https://www.econbiz.de/10014468705