SoleCRISTransition linkFrontpageTransition linkInstructionsTransition linkLogin Bank of Finland

A Peer-reviewed scientific articles/A1 Journal article (refereed), original research
      
This is the view page of publication. On this page you can view basic information of publication or go back on previous page using back-action on the bottom of the page. If you want to move to edit the information of publication, use the actions on the bottom of the page or continue using the system from menu.


On the long-run calibration of the credit-to-GDP gap as a banking crisis predictor, Finnish Economic Papers 2 (2020). Kauko, Karlo; Tölö, Eero


Category A Peer-reviewed scientific articles
Sub-category A1 Journal article (refereed), original research
auki Internal authors
Tölö Eero / Macroprudential Analysis Division
All authors as text Kauko, Karlo; Tölö, Eero 
Number of authors
Status Published
Year of publication 2020 
Date 30.11.2020 
Name of article On the long-run calibration of the credit-to-GDP gap as a banking crisis predictor 
Name of journal Finnish Economic Papers
Volume of issue 29 
Number of issue
Abstract The credit-to-GDP gap is a widely used early warning indicator of banking crises. It has become standard to calculate this trend deviation with a one-sided Hodrick-Prescott filter that uses a much larger value for the smoothing parameter λ than commonly applied in most business-cycle studies. We recalibrate the smoothing parameter with panel data covering almost one-and-a-half centuries of data. As a result, the 2008 crisis does not dominate the results and sample length helps contain filter initialization problems, i.e. most observations are preceded by decades of data. The optimal λ is found to be much lower than previously suggested.
Free text descriptor in Finnish pankkikriisit; ennakoivat varoittimet; luottokanta-BKT; ennusteet; indikaattorit; luotot; bruttokansantuote 
Free text descriptor in English banking crises, early warning, credit-to-GDP gap 
JEL-codes G01, E44, N20 
ISSN / e-ISSN 0784-5197 
auki Internet addresses
Notes BoF DP 6/2019 


Related publications