Gerdrup, Karsten R.; Kvinlog, Aslak Bakke; Schaanning, Eric - 2013
The credit-to-GDP gap has a prominent role in the Basel Committee's frame- work for a countercyclical capital buffer under Basel III. The Committee uses a one-sided Hodrick-Prescott filter to calculate the trend of credit-to-GDP. In this paper we suggest applying the filter to a sample of the...