Banking crises

Showing 1-1 of 1 results
Credit-to-GDP gaps

Credit-to-GDP gaps

carol.reyes.dulong
Open Dataset
Creators: BIS statistics
Publication Date: 2025-03-11
Creators: BIS statistics

The credit-to-GDP gap data set aims at quantifying the notion of “excessive credit” in a simple way. It serves as an early warning indicator for potential banking crises or severe distress.

The data set covers 44 economies, starting at earliest in 1961 and captures total borrowing from all domestic and foreign sources. The credit-to-GDP gap is defined as the difference between the credit-to-GDP ratio and its long-run trend. The trend is derived using a one-sided (ie backward-looking) Hodrick-Prescott filter.

To facilitate comparability across countries, the credit-to-GDP ratio, as published in the BIS database of total credit to the private non-financial sector, is used as input data. However, it also means that the credit-to-GDP gaps published by the BIS may differ from those used by national authorities as part of their countercyclical capital buffer decisions.

The gap indicator was adopted as a common reference point under Basel III to guide the build-up of countercyclical capital buffers. Authorities are expected, however, to apply judgment in the setting of the buffer in their jurisdiction after using the best information available to gauge the build-up of system-wide risk rather than relying mechanistically on the credit-to-GDP guide. For instance, national authorities may form their policy decisions using credit-to-GDP ratios that are based on data series that differ from the BIS series, leading to credit-to-GDP gaps that differ from those published by the BIS.

Sign In

New to BERD@NFDI? Register

Forgot password?

Register

Reset Password

Please enter your username or email address, you will receive a link to create a new password via email.