2017年-ECB欧洲央行_Measuring_Credit_Gaps_for_Macroprudential_Policy_14页_252kb

Summary of "B Measuring credit gaps for macroprudential policy"

Core Content

This document discusses the measurement of credit gaps as a tool for macroprudential policy, with a focus on identifying excessive credit developments that can lead to financial instability. It highlights the limitations of statistical credit gap measures, such as the "Basel gap", and presents an alternative approach based on economic theory, particularly for household credit.

Main Points

• Credit Growth and Financial Crises: Excessive credit growth and leverage have historically been key drivers of financial crises, including the global financial crisis. Identifying these periods early is crucial for effective macroprudential policy.

• Macroprudential Policy Instruments: The countercyclical capital buffer (CCyB) is a key macroprudential instrument, designed to counter procyclicality by increasing capital requirements during credit booms.

• Basel Gap: The Basel gap is a widely used statistical measure of credit excess, defined as the deviation of the credit-to-GDP ratio from its long-term trend. It is considered one of the best early warning indicators of systemic banking crises and is used in the ESRB's benchmark buffer guide for CCyB.

• Limitations of the Basel Gap: The Basel gap has some statistical drawbacks, including potential underestimation of positive gaps and overestimation of negative gaps. These biases can occur due to the persistence of the statistical trend and may be influenced by structural changes in the economy.

• Alternative Approach: A theory-based credit gap approach is proposed, which incorporates fundamental economic factors influencing household credit. This method uses a structural economic model to estimate the trend component of household credit, distinguishing it from purely statistical methods.

• Model Construction: The model for theory-based household credit gaps is based on a modified secular stagnation framework. It considers factors such as real potential GDP, institutional quality, equilibrium real interest rates, and the demographic structure of the economy.

• Empirical Results: The model is estimated for 12 EU countries using data from the early 1980s. The results show that the estimated coefficients align with economic theory and intuition. For instance, lower equilibrium real interest rates are associated with higher sustainable levels of household credit, and a higher share of middle-aged people in the population leads to an increase in the trend level of household credit.

• Cyclical Properties: Theory-based household credit gaps exhibit long cycles, typically between 15 and 25 years, with large amplitudes ranging from +/-15% to +/-25%. These properties are similar to those of the Basel gap and other financial cycle estimates.

Key Information

• Credit-to-GDP Gap: A standard measure of credit excess, used to inform macroprudential policy decisions.

• Statistical vs. Theory-Based Gaps: While statistical methods are practical and widely used, they can be biased. Theory-based gaps provide a more economically interpretable measure by incorporating fundamental factors.

• Components of Credit Gaps: Decomposing credit gaps into components (e.g., household credit, NFC credit, etc.) helps identify the main drivers of credit developments and informs targeted policy responses.

• Policy Implications: The theory-based credit gap approach can enhance the accuracy and relevance of macroprudential policy by providing insights into the underlying economic forces affecting credit trends.

Conclusion

The document emphasizes the importance of combining statistical and theory-based credit gap measures to better assess cyclical systemic risks. It argues that economic interpretation of credit gaps is essential for informed macroprudential policy decisions and that the theory-based approach offers a more nuanced understanding of credit dynamics and their implications for financial stability.