{"slug":"bis-credit-gap","name":"BIS credit-to-GDP gap","family":"Macro-financial conditions","status":"active","estimate":"The BIS-published credit-to-GDP gap for nine economies, stored beside an engine one-sided-HP reconstruction and its Basel III CCyB guide.","page":"/conditions","implementation":{"enginePaths":["engine/finweave_engine/layers/macro/credit_gap.py"],"producerPath":"scripts/build_conditions.py","outputs":["data/parquet/conditions_series.parquet"]},"methodology":[{"path":"engine/finweave_engine/layers/macro/credit_gap.py","lines":[23,193],"note":"hp_filter_one_sided() and compute_credit_gap() implement the recursive trend, ratio-minus-trend gap, signal zones, and CCyB guide calculation."},{"path":"docs/conditions_methodology.md","lines":[132,169],"note":"Distinguishes the engine result, the BIS-published gap, and the CCyB guide, including the filter parameter and early-sample caveat."},{"path":"docs/conditions_methodology.md","lines":[605,619],"note":"Records the one-sided quarterly filter, signal thresholds, guide rule, and covered economies."}],"data":{"vintage":"1,894 BIS-published gap observations for 9 economies from 1957-12-31 through 2025-12-31; the 43-economy input has 24,488 observations from 1947-Q4 through 2025-Q4, measured 2026-08-30","tables":["data/parquet/conditions_series.parquet","data/parquet/bis_credit_gap.parquet"],"sources":[{"label":"Bank for International Settlements, total credit and credit-to-GDP gaps","url":"https://data.bis.org/topics/TOTAL_CREDIT"}]},"method":["The engine applies a recursive one-sided Hodrick-Prescott filter with quarterly lambda 400,000 to each BIS credit-to-GDP ratio and computes ratio minus trend. The producer stores that engine result as credit_gap_engine.","The producer separately stores the BIS's own published actual-minus-trend series as credit_gap_bis. This card's measured 1,894-observation vintage refers to that published BIS series, not to the longer engine-emitted warm-up span.","The CCyB guide is a third quantity: a piecewise Basel III guide rate computed from the engine gap. Signal zones describe the gap in percentage points, while the guide is a percent of risk-weighted assets."],"equations":[{"label":"Credit gap","expr":"gap = credit-to-GDP ratio - one-sided HP trend"},{"label":"Signal zones","expr":"NORMAL if gap < 2; WATCH if 2 <= gap < 6; ELEVATED if 6 <= gap < 10; HIGH if gap >= 10"},{"label":"CCyB guide","expr":"CCyB = min(2.5, max(0, (gap - 2) / 8 * 2.5))"}],"validation":["The published BIS-gap output contains 1,894 observations for 9 economies from 1957-12-31 through 2025-12-31.","The source input contains 24,488 observations for 43 economies from 1947-Q4 through 2025-Q4.","Where BIS publishes its gap, the documented engine reconstruction agrees to about 0.00005 percentage point on every date."],"limitations":["BIS suppresses roughly the first ten years while the engine emits recursive estimates immediately; early engine-only estimates carry weak trend burn-in and are not BIS-published gaps.","The nine-economy display is a selected cross-section. It is not the full 43-economy source universe, and Bangladesh is absent from that source universe.","The CCyB guide is a mechanical benchmark, not a jurisdiction's announced countercyclical capital-buffer rate."],"references":[{"citation":"Basel Committee on Banking Supervision (2010), Guidance for national authorities operating the countercyclical capital buffer.","url":"https://www.bis.org/publ/bcbs187.htm"},{"citation":"Drehmann, Borio, Gambacorta, Jimenez, and Trucharte (2010), Countercyclical capital buffers: exploring options, BIS Working Paper 317."}],"endpoints":[{"path":"/api/methods/[slug]","example":"/api/methods/bis-credit-gap","method":"GET","returns":"Registry metadata, implementation paths, measured vintage, methodology evidence, validation, and limitations. No model observations or parquet contents."}],"lastVerified":"2026-08-30"}