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Recent enhancements to the BIS statistics

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https://www.bis.org/publ/qtrpdf/r_qt1609c.htm

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Data are released every quarter. The publication date and the latest reference period are shown in the <a href='/release-calendar?filter=categoryId%3DCREDIT_GAPS'>Statistics release calendar</a>.

How often and when are the credit-to-GDP gaps updated?

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Explore the credit-to-GDP gaps dashboard to get quick visual insights into our statistics, analyse country and global developments and build your own data stories. This data set corresponds to the difference between the credit-to-GDP ratio and its long-run trend.

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https://dataviz.bis.org/t/DataPortal/views/gaps/Main

The series underlying the credit-to-GDP gaps is the total credit to the private non-financial sector, as published in the <a href='https://www.bis.org/statistics/totcredit.htm' target='_blank' rel='noopener noreferrer'>"credit to the non-financial sector data set"</a>. Credit-to-GDP is calculated as the outstanding amount of debt at the end of the quarter compared with the sum of the last four quarters of nominal GDP.

What is the underlying data behind the credit-to-GDP gaps?

The credit-to-GDP gap is defined as the difference between the credit-to-GDP ratio and its long-run trend. It captures the build-up of excessive credit in a reduced form fashion. The gap indicator was adopted as a common reference point under Basel III to guide the build-up of countercyclical capital buffers. For the characteristics of the data set, <a href='https://www.bis.org/publ/qtrpdf/r_qt1609c.htm' target='_blank' rel='noopener noreferrer'>"Recent enhancements to the BIS statistics"</a>, BIS Quarterly Review, September 2016.

What is the credit-to-GDP gap and why is it important?

The trend to generate the credit-to-GDP gap is derived using a Hodrick-Prescott filter. For the technical features of the calculation, see <a href='https://www.bis.org/publ/qtrpdf/r_qt1609c.htm' target='_blank' rel='noopener noreferrer'>"Recent enhancements to the BIS statistics"</a>, BIS Quarterly Review, September 2016.

How is the credit-to-GDP trend calculated?

/static/bulk/WS_CREDIT_GAP_sdmx-compact-2.1.zip

The BIS uses the <a href='/topics/TOTAL_CREDIT/data/BIS,PDQ_F2_1,1.0'>total credit to the private non-financial sector</a> series as input data, which facilitates comparability across countries. This means that the credit-to-GDP gaps published by the BIS may differ from those considered by national authorities as part of their countercyclical capital buffer decisions. The gap indicator was adopted as a common reference point under Basel III to guide the build-up of countercyclical capital buffers. Authorities are expected, however, to apply judgment in the setting of the buffer in their jurisdiction after using the best information available to gauge the build-up of system-wide risk rather than relying mechanistically on the credit-to-GDP guide. For instance, national authorities may form their policy decisions using credit-to-GDP ratios that are based on different data series from the BIS as input data, leading to credit-to-GDP gaps that differ from those published by the BIS. See also the <a href='https://www.bis.org/bcbs/ccyb/index.htm' target='_blank' rel='noopener noreferrer'>Basel Committee on Banking Supervision</a>.

Why do credit-to-GDP gaps published by the BIS sometimes differ from those published by national authorities?

/static/bulk/WS_CREDIT_GAP_sdmx-generic-2.1.zip

Credit-to-GDP gaps

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Credit-to-GDP, based on total credit to the private non-financial sector - Trend

Credit-to-GDP gaps

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