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Measuring excess credit using the “Basel gap”: relevance for setting the countercyclical capital buffer and limitations

Author

Listed:
  • C. Couaillier
  • J. Idier

Abstract

The indicator of excess private sector credit – the “Basel gap” – amounted to 1.8 percentage points at end-2016. At two percentage points, the European Systemic Risk Board considers that financial stability could be at risk and recommends that national macroprudential authorities activate the countercyclical capital buffer. But what does this indicator mean exactly? How is it measured? Is it robust?

Suggested Citation

  • C. Couaillier & J. Idier, 2017. "Measuring excess credit using the “Basel gap”: relevance for setting the countercyclical capital buffer and limitations," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 46, pages 5-18, Summer.
    • Handle: RePEc:bfr:quarte:2017:46:01
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    File URL: https://publications.banque-france.fr/sites/default/files/medias/documents/qsa46_summer-2017_web.pdf#page=5
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    Citations

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    Cited by:

    1. T. Bennani & C. Couaillier & A. Devulder & S. Gabrieli & J. Idier & P. Lopez & T. Piquard & V. Scalone, 2017. "An analytical framework to calibrate macroprudential policy," Working papers 648, Banque de France.

    More about this item

    Keywords

    macroprudential policy; credit; debt; statistical methods; financial stability; financial cycle;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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