Narrow Results

Countercyclical capital buffer (CCyB) is an essential instrument of macroprudential policy. Over the last couple of years, many studies have dealt with finding adequate indicators of credit activity monitored for CCyB calibration purposes. The credit-to-GDP gap is widely used and recognized as the leading indicator of credit dynamics for CCyB decision-making. Research and applications in practice regarding the stability of the credit-to-GDP gap are still lacking today. This stability refers to the end-point problems within the statistical filtering part of the analysis and problems with the GDP volatility, especially during crises, such as COVID-19. This chapter focuses on several practical approaches to correcting the credit-to-GDP gap as the primary indicator of credit dynamics in real time. Moreover, the chapter deals with possible corrections of the credit-to-GDP gap. The solutions allow for lower volatility of indicators over time so that the decision-maker can use stable signals.