Model methodsMacro-financial conditionsactive

BIS credit-to-GDP gap

The BIS-published credit-to-GDP gap for nine economies, stored beside an engine one-sided-HP reconstruction and its Basel III CCyB guide.

Registry slug:: bis-credit-gap
Visible surface:: /conditions

Data and implementation

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

Data tables

data/parquet/conditions_series.parquet
data/parquet/bis_credit_gap.parquet

Engine

engine/finweave_engine/layers/macro/credit_gap.py

Producer

scripts/build_conditions.py

Outputs

data/parquet/conditions_series.parquet

Source: Bank for International Settlements, total credit and credit-to-GDP gaps

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.

Methodology evidence

Path and lines	Evidence
engine/finweave_engine/layers/macro/credit_gap.py:23-193	hp_filter_one_sided() and compute_credit_gap() implement the recursive trend, ratio-minus-trend gap, signal zones, and CCyB guide calculation.
docs/conditions_methodology.md:132-169	Distinguishes the engine result, the BIS-published gap, and the CCyB guide, including the filter parameter and early-sample caveat.
docs/conditions_methodology.md:605-619	Records the one-sided quarterly filter, signal thresholds, guide rule, and covered economies.

Equations

Credit gapgap = credit-to-GDP ratio - one-sided HP trend

Signal zonesNORMAL if gap < 2; WATCH if 2 <= gap < 6; ELEVATED if 6 <= gap < 10; HIGH if gap >= 10

CCyB guideCCyB = 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

Basel Committee on Banking Supervision (2010), Guidance for national authorities operating the countercyclical capital buffer.
Drehmann, Borio, Gambacorta, Jimenez, and Trucharte (2010), Countercyclical capital buffers: exploring options, BIS Working Paper 317.

Metadata endpoint

Path	Method	Returns	Example
/api/methods/[slug]	GET	Registry metadata, implementation paths, measured vintage, methodology evidence, validation, and limitations. No model observations or parquet contents.	/api/methods/bis-credit-gap