Pregled bibliografske jedinice broj: 1227365
Augmented credit-to-GDP gap as a more reliable indicator for macroprudential policy decision-making
Augmented credit-to-GDP gap as a more reliable indicator for macroprudential policy decision-making, 2022. (ekspertiza).
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Naslov
Augmented credit-to-GDP gap as a more reliable
indicator for macroprudential policy decision-making
(Augmented credit to GDP gap as a more reliable
indicator for macroprudential policy decision-making)
Autori
Škrinjarić, Tihana
Izvornik
Suerf
Vrsta, podvrsta
Ostale vrste radova, ekspertiza
Godina
2022
Ključne riječi
credit-to-GDP gap ; out of sample forecasts ; augmented credit gap ; countercyclical capital buffer ; estimation uncertainty.
Sažetak
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.
Izvorni jezik
Engleski
Znanstvena područja
Matematika, Ekonomija
