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How strongly are business cycles and financial cycles linked in the G7 countries?

Antonakakis, Nikolaos; Breitenlechner, Max; Scharler, Johann - 2014

for the G7 countries we find that: i) spillovers between credit growth and GDP growth evolve rather heterogeneously over … time and across countries, and increase during extreme economic events. ii) Spillovers between credit growth and GDP growth … shorty before and on the onset of the global financial crisis, the link between credit growth and GDP growth becomes more …

Persistent link: https://www.econbiz.de/10010253456

Financial cycles in Europe : dynamics, synchronicity and implications for business cycles and macroeconomic imbalances

Adarov, Amat - 2019

Using dynamic factor models and state-space techniques we quantify financial cycles for twenty European countries over the period 1960Q1–2015Q4 capturing imbalances across credit, housing, bond and equity markets. The paper documents the existence of slow-moving and persistent financial cycles...

Persistent link: https://www.econbiz.de/10012153925

The impact of credit supply shocks in the euro area : market-based financing versus loans

Barauskaite, Kristina; Nguyen, Anh D. M.; Rousová, Linda; … - 2022

Using a novel quarterly dataset on debt financing of non-financial corporations, this paper provides the first empirical evaluation of the relative importance of loan and market-based finance (MBF) supply shocks on business cycles in the euro area as a whole and in its five largest countries. In...

Persistent link: https://www.econbiz.de/10013265943

The credit composition of global liquidity

Herwartz, Helmut; Ochsner, Christian; Rohloff, Hannes - 2021

We conceptualize global liquidity as global monetary policy and credit components by means of a large-scale dynamic factor model. Going beyond previous work, we decompose aggregate credit components into credit supply and demand flows directed at businesses, households and governments. We show...

Persistent link: https://www.econbiz.de/10012543579

The credit composition of global liquidity

Herwartz, Helmut; Ochsner, Christian; Rohloff, Hannes - 2020

We conceptualize global liquidity as global monetary policy and credit components by means of a large-scale dynamic factor model in the spirit of Eickmeier,Gambacorta, and Hofmann (2014). Going beyond previous work, we decompose aggregate credit components into credit supply and demand flows...

Persistent link: https://www.econbiz.de/10012318308

Financial cycles across G7 economies : a view from wavelet analysis

Mandler, Martin; Scharnagl, Michael - 2019

We analyse the cross-country dimension of financial cycles by studying cyclical co-movements in credit, house prices, equity prices and interest rates across the G7 economies. We use wavelet-based statistics to assess at which frequencies cyclical fluctuations and their crosscountry co-movements...

Persistent link: https://www.econbiz.de/10012020175

Financial cycles in euro area economies : a cross-country perspective

Kunovac, Davor; Mandler, Martin; Scharnagl, Michael - 2018

We study the cross-country dimension of financial cycles for six euro area countries using three different methodologies: principal component analysis, synchronicity and similarity measures and wavelet analysis. We find that equity prices and interest rates display synchronization across...

Persistent link: https://www.econbiz.de/10011809188

Real and financial cycles in EU countries : stylised facts and modelling implications

Rünstler, Gerhard (contributor); … - European System of Central Banks / Working Group on … - 2018

This paper studies the cyclical properties of real GDP, house prices, credit, and nominal liquid financial assets in 17 EU countries, by applying several methods to extract cycles. The estimates confirm earlier findings of large medium-term cycles in credit volumes and house prices. GDP appears...

Persistent link: https://www.econbiz.de/10011779865

The synchronization of European credit cycles

Meller, Barbara; Metiu, Norbert - 2015

We study the synchronization of credit booms and busts among 12 major European economies and the United States between 1972-2011. We propose a regression-based procedure to test whether boom-bust phases of credit cycles coincide across countries and to cluster countries with positively...

Persistent link: https://www.econbiz.de/10011299045

On adjusting the one-sided Hodrick-Prescott filter

Wolf, Elias; Mokinski, Frieder; Schüler, Yves - 2020

We show that one should not use the one-sided Hodrick-Prescott filter (HP-1s) as the real-time version of the two-sided Hodrick-Prescott filter (HP-2s): First, in terms of the extracted cyclical component, HP-1s fails to remove low-frequency fluctuations to the same extent as HP-2s. Second,...

Persistent link: https://www.econbiz.de/10012180612

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