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The direction, timing and causality relationships between the cyclical components of real and financial variables during the financial liberalization period in Turkey
İnsel, Aysu; Soytaş, Mehmet Ali; Gündüz, Seda - 2004 - Draft version.1
The purpose of this paper is the determination of sources and pattern of business cycle in Turkey throughout the period … 1988-2002 using quarterly data. The question of the paper is "Has financial liberalization increased the fragility of the … variables, whereas the source of fluctuations in the real GDP is the financial variables in Turkey. External spread, capital …
Persistent link: https://www.econbiz.de/10011529029
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The Direction, Timing and Causality Relationships Between The Cyclical Components of Real and Financial Variables During The Financial Liberalization Period in Turkey
Ýnsel, Aysu; Soytaþ, Mehmet Ali; Gündüz, Seda - Türkiye Ekonomi Kurumu - TEK - 2004
The purpose of this paper is the determination of sources and pattern of business cycle in Turkey throughout the period … 1988-2002 using quarterly data. The question of the paper is “Has financial liberalization increased the fragility of the … variables, whereas the source of fluctuations in the real GDP is the financial variables in Turkey. External spread, capital …
Persistent link: https://www.econbiz.de/10005059690
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Financial variables as predictors of real growth vulnerability
Reichlin, Lucrezia; Ricco, Giovanni; Hasenzagl, Thomas - 2020 - This version: 30th October 2019
We evaluate the role of financial conditions as predictors of macroeconomic risk first in the quantile regression framework of Adrian et al. (2019b), which allows for non-linearities, and then in a novel linear semi-structural model as proposed by Hasenzagl et al. (2018). We distinguish between...
Persistent link: https://www.econbiz.de/10012173525
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Decomposition of Bank Loans and Economic Activity in Turkey
Küçük Yeşil, Hande; Özlü, Pınar; Yüncüler, Çağlar - 2020
We examine the empirical link between loans and economic activity in Turkey with a focus on the components of loans by …
Persistent link: https://www.econbiz.de/10014361889
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Financial variables as predictors of real growth vulnerability
Reichlin, Lucrezia; Ricco, Giovanni; Hasenzagl, Thomas - 2020
We evaluate the role of financial conditions as predictors of macroeconomic risk first in the quantile regression framework of Adrian et al. (2019b), which allows for non-linearities, and then in a novel linear semi-structural model as proposed by Hasenzagl et al. (2018). We distinguish between...
Persistent link: https://www.econbiz.de/10012174678
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Household decisions, credit markets and the macroeconomy: implications for the design of central bank models
Muellbauer, John - Bank für Internationalen Zahlungsausgleich <Basel> - 2010
It is widely acknowledged that the recent generation of DSGE models failed to incorporate many of the liquidity and financial accelerator mechanisms revealed in the global financial crisis that began in 2007. This paper complements the papers presented at the 2009 BIS annual conference focused...
Persistent link: https://www.econbiz.de/10005870913
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Financial shocks and the real economy in a nonlinear world : from theory to estimation
Silvestrini, Andrea; Zaghini, Andrea - 2015
We examine the inter-linkages between financial factors and real economic activity. We review the main theoretical approaches that allow financial frictions to be embedded into general equilibrium models. We outline, from a policy perspective, the most recent empirical papers focusing on the...
Persistent link: https://www.econbiz.de/10011279726
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The role of credit in international business cycles
Xu, TengTeng - 2012
This paper examines the role of bank credit in modeling and forecasting business cycle fluctuations, and investigates the international transmission of US credit shocks, using a global vector autoregressive (GVAR) framework and associated country-specific error correction models. The paper...
Persistent link: https://www.econbiz.de/10009668401
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How strongly are business cycles and financial cycles linked in the G7 countries?
Antonakakis, Nikolaos; Breitenlechner, Max; Scharler, Johann - 2014
In this study we examine the dynamic interactions between credit growth and output growth using the spillover index approach of Diebold and Yilmaz (2012). Based on quarterly data on credit growth and GDP growth over the period 1957Q1-2012Q4 for the G7 countries we find that: i) spillovers...
Persistent link: https://www.econbiz.de/10010253456
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What are the macroeconomic effects of high-frequency uncertainty shocks
Ferrara, Laurent; Guérin, Pierre - 2016
This paper evaluates the effects of high-frequency uncertainty shocks on a set of lowfrequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to...
Persistent link: https://www.econbiz.de/10011476374