Jan Hannes Lang (Europäische Zentralbank) – Semi-structural credit gap estimationDiesen Termin in meinem Kalender speichern
This paper proposes a semi-structural approach to identifying excessive household credit developments. Using an overlapping generations model, a normative trend level for the real household credit stock is derived. Semi-structural household credit gaps are obtained as deviations of the real household credit stock from this fundamental trend level. Estimates of these credit gaps for 12 EU countries over the past 25 years yield credit cycles that last between 15 to 25 years with amplitudes of around 20%. The early warning properties for ﬁnancial crises are superior compared to credit gaps that are obtained from purely statistical ﬁlters. The proposed semi-structural household credit gaps could therefore provide useful information for the formulation of countercyclical macroprudential policy.
Freitag, 20. April 2018, 11.00 Uhr
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