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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

Generalized financial cycle theory from the Minsky's perspective : UK 1270-2016

Porada-Rochoń, Małgorzata; Škare, Marinko - In: Journal of business economics and management 21 (2020) 5, pp. 1375-1389

Our study aims to bridge the gap between contemporary studies on financial cycles and the financial instability hypothesis in the form of a Minsky cycle (Minsky, 1963). Paper contribution range from explored causality links (financial cycles cause business cycles) to the empirical estimation of...

Persistent link: https://www.econbiz.de/10012271844

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

On the cyclical properties of Hamilton's regression filter

Schüler, Yves S. - 2018

of a typical recession, leading to inconsistencies, for example, with the NBER business cycle chronology. Nonetheless, I …-to-GDP ratio indicates that imbalances prior to the global financial crisis started earlier than shown by the Basel III creditto …

Persistent link: https://www.econbiz.de/10011792295

How important are spillovers from major emerging markets?

Huidrom, Raju; Kose, M. Ayhan; Ohnsorge, Franziska - 2017

. Given their size and integration, growth in EM7 could have significant cross-border spillovers. We provide empirical … estimates of these spillovers using a Bayesian vector auto regression model. We report three main results. First, spillovers …. Second, sizeable as they are, spillovers from EM7 are still smaller than those from G7 countries (Group of Seven of advanced …

Persistent link: https://www.econbiz.de/10011696360

The impact of the Basel III liquidity coverage ratio on macroeconomic stability : an agent-based approach

Li, Boyao - 2017

international response to the 2007–2008 financial crisis. Particularly, the liquidity coverage ratio (LCR) introduced by the Basel …

Persistent link: https://www.econbiz.de/10011587669