The Basel III regulation explicitly prescribes the use of Hodrick–Prescott filters to estimate credit cycles and calibrate countercyclical capital buffers. However, the filter has been found to suffer from large ex-post revisions, raising concerns on its fitness for policy use. To investigate this problem, we study credit cycles in a panel of 26 countries between 1971 and 2018. We reach two conclusions. The bad news is that the limitations of the one-side HP filter are serious and pervasive. The good news is that they can be easily mitigated. The filtering errors are persistent and hence predictable. This can be exploited to construct real-time estimates of the cycle that are less subject to ex-post revisions, forecast financial crises more reliably, and stimulate the build-up of bank capital before a crisis.

巴塞尔协议 III 法规明确规定使用 Hodrick-Prescott 过滤器来估计信贷周期和校准反周期资本缓冲。然而，该过滤器被发现存在大量事后修订，引发了对其是否适合政策使用的担忧。为了调查这个问题，我们研究了 1971 年至 2018 年间 26 个国家的信贷周期。我们得出两个结论。坏消息是单侧 HP 过滤器的局限性是严重且普遍的。好消息是它们可以很容易地缓解。过滤误差是持久的，因此是可预测的。这可以用来构建周期的实时估计，这种估计不受事后修正的影响，更可靠地预测金融危机，并在危机前刺激银行资本的积累。