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Measuring Credit Gaps for Macroprudential Policy

Author

Listed:
  • Lang, Jan Hannes
  • Welz, Peter

Abstract

Excessive credit growth and leverage have been key drivers of past financial crises, notably the recent global financial crisis. For the appropriate setting of countercyclical macroprudential policy instruments, it is therefore important to identify periods of excessive credit developments at an early stage. This special feature discusses the standard statistical method for computing credit gaps and compares it with an alternative approach to measuring credit excesses based on fundamental economic factors. Theory-based credit gaps could provide a useful complement to statistical measures of cyclical systemic risk. JEL Classification: G00

Suggested Citation

  • Lang, Jan Hannes & Welz, Peter, 2017. "Measuring Credit Gaps for Macroprudential Policy," Financial Stability Review, European Central Bank, vol. 1.
    • Handle: RePEc:ecb:fsrart:2017:0001:2
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    File URL: https://www.ecb.europa.eu//pub/pdf/fsr/art/ecb.fsrart201705_02.en.pdf
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    Citations

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    Cited by:

    1. Andreas Nastansky & Sarah Siris, 2024. "Risikoverbund zwischen Banken und Staaten: Eine empirische Analyse für den Euroraum," Statistische Diskussionsbeiträge 56, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät.
    2. Frank Dierick & Francesco Mazzaferro, 2018. "The ESRB and macroprudential policy in the EU," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q3-18, pages 131-140.
    3. Pirovano, Mara & Azzone, Michele, 2024. "Aim, focus, shoot. The choice of appropriate and effective macroprudential instruments," Working Paper Series 2979, European Central Bank.
    4. Antonio Sánchez Serrano, 2018. "Financial stability consequences of the expected credit loss model in IFRS 9," Financial Stability Review, Banco de España, issue Spring.
    5. Lang, Jan Hannes & Welz, Peter, 2018. "Semi-structural credit gap estimation," Working Paper Series 2194, European Central Bank.
    6. Terhi Jokipii & Reto Nyffeler & Stéphane Riederer, 2021. "Exploring BIS credit-to-GDP gap critiques: the Swiss case," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 157(1), pages 1-19, December.
    7. Uwe Vollmer, 2022. "Monetary policy or macroprudential policies: What can tame the cycles?," Journal of Economic Surveys, Wiley Blackwell, vol. 36(5), pages 1510-1538, December.
    8. Lang, Jan Hannes & Izzo, Cosimo & Fahr, Stephan & Ruzicka, Josef, 2019. "Anticipating the bust: a new cyclical systemic risk indicator to assess the likelihood and severity of financial crises," Occasional Paper Series 219, European Central Bank.
    9. Cabral, Inês & Detken, Carsten & Fell, John & Henry, Jérôme & Hiebert, Paul & Kapadia, Sujit & Pires, Fatima & Salleo, Carmelo & Constâncio, Vítor & Nicoletti Altimari, Sergio, 2019. "Macroprudential policy at the ECB: Institutional framework, strategy, analytical tools and policies," Occasional Paper Series 227, European Central Bank.
    10. Gjergj Legisi, 2020. "Credit-to-GDP gap: Local versus foreign currency credit," IHEID Working Papers 13-2020, Economics Section, The Graduate Institute of International Studies.

    More about this item

    Keywords

    countercyclical macroprudential policy; excessive credit growth; financial crisis; leverage; systemic risk;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General

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