Credit and business cycles: Causal effects in the frequency domain

Jose Gomez-Gonzalez, Mauricio Villamizar-Villegas, Hector Zarate-Solano, Juan Amador Torres () and Celina Gaitan-Maldonado ()

Revista ESPE - Ensayos sobre Política Económica, 2015, vol. 33, issue 78, No 78, 176-189

Abstract: The history of economic recessions has shown that every deep downturn has been accompanied by disruptions in the financial sector. Paradoxically, up until the financial world crisis of 2007–2009, little attention was given to macroeconomic and financial interdependence. In this paper, a study is conducted on the relationship between financial and real business cycles for a sample of thirty-three countries in the frequency domain. Specifically, the features of the interdependence of credit and output cycles are analysed and Granger-type causality tests are carried out in the frequency domain. The main findings of the study indicate that the likelihood of cycle interdependence is highest when considering medium and long-term frequencies, and that Granger causality runs in both directions.

Keywords: Frequency domain; Granger causality; Credit and output cycle interdependence (search for similar items in EconPapers)
JEL-codes: C38 E32 E44 (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (9)

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https://doi.org/10.1016/j.espe.2015.05.002

Related works:
Journal Article: Credit and business cycles: Causal effects in the frequency domain (2015)
Working Paper: Credit and Business Cycles: An Empirical Analysis in the Frequency Domain (2014)
Working Paper: Credit and Business Cycles: An Empirical Analysis in the Frequency Domain (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:bdr:ensayo:v:33:y:2015:i:78:p:176-189

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