Augmented credit to GDP gap as a more reliable indicator for macroprudential policy decision-making (CROSBI ID 792447)
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Podaci o odgovornosti
Škrinjarić, Tihana
engleski
Augmented credit to GDP gap as a more reliable indicator for macroprudential policy decision-making
The credit gap is a standardized and harmonized indicator providing a basis for countercyclical capital buffer calibration. For this purpose, it is necessary to use a stable, valid indicator that reflects the movement of the financial cycle of a country. This research deals with reducing the endpoint bias when estimating the credit gap using the Hodrick-Prescott filter. The findings are helpful for those institutions whose analyzes show that the HP filter is the best way to assess indicators that portend a future financial crisis. Several popular forecasting approaches are considered in the empirical part of the paper for the case of Croatian data to compare them and select the best based on several criteria. The results of this research can be used when making decisions in real-time, considering the simplicity of their application and the communication of the results. The resulting adjusted credit gaps reduce the bias in the gap series after the financial cycle turns, and provide stable signals to the macroprudential decision-maker.
credit-to-GDP gap ; out of sample forecasts ; augmented credit gap ; countercyclical capital buffer ; estimation uncertainty.
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Podaci o izdanju
Suerf
2022.
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