Purpose

This paper aims to complement to standard Basel countercyclical capital buffer framework by suggesting additional measures for credit gaps that can be used to measure the financial cycle and to decide on countercyclical capital buffers for banks.

Design/methodology/approach

The paper concentrates on European Union countries with the data starting from 1970. The authors check whether the newly suggested buffers are in place and sizable before financial distress periods.

Findings

The new measures are: the change in the credit-to-GDP ratio over two years; the growth in credit compared to the eight-year moving average of growth in nominal GDP over two years; the growth in credit compared to annual nominal growth of 5% over two years; and growth in credit relative to the nominal GDP trend value over two years. They behave similarly to the gaps calculated with the standard Basel one-sided Hodrick–Prescott filter in long samples.

Originality/value

The main contribution of the paper is to suggest new alternative measures of credit cycles that can be used in short samples and in case of structural breaks. New measures correlate well with actual countercyclical capital buffers in place in 2018.

中文翻译：

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衡量信贷缺口和设定反周期资本缓冲的替代框架

目的

本文旨在通过建议可用于衡量金融周期并确定银行反周期资本缓冲的信贷缺口补充措施，来补充标准的巴塞尔逆周期资本缓冲框架。

设计/方法/方法

本文重点关注欧盟国家，其数据始于1970年。作者检查了新建议的缓冲是否在财务困境期到位且规模较大。

发现

新的措施是：两年内信贷占GDP比率的变化；与两年内名义GDP增长的八年移动平均值相比，信贷的增长；与两年中每年名义增长5％相比的信贷增长；两年内相对于名义GDP趋势值的信贷增长。在长样本中，它们的行为类似于使用标准巴塞尔单面Hodrick-Prescott滤波器计算的间隙。

创意/价值

本文的主要贡献是，提出了新的信贷周期替代措施，可用于短期样本和结构性断裂的情况。新措施与2018年实际的反周期资本缓冲有很好的关联。