Financial Cycles: What? How? When?

Stijn Claessens (), Ayhan Kose and Marco Terrones

No 8379, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper provides a comprehensive analysis of financial cycles using a large database covering 21 advanced countries over the period 1960:1-2007:4. Specifically, we analyze cycles in credit, house prices, and equity prices. We report three main results. First, financial cycles tend to be long and severe, especially those in housing and equity markets. Second, they are highly synchronized within countries, particularly credit and house price cycles. The extent of synchronization of financial cycles across countries is high as well, mainly for credit and equity cycles, and has been increasing over time. Third financial cycles accentuate each other and become magnified, especially during coincident downturns in credit and housing markets. Moreover, globally synchronized downturns tend to be associated with more prolonged and costly episodes, especially for credit and equity cycles. We discuss how these findings can guide future research on various aspects of financial market developments.

Keywords: Credit booms; Credit cycles; Asset busts; Crunches; Equity prices; House prices (search for similar items in EconPapers)
JEL-codes: E32 F42 G12 G15 (search for similar items in EconPapers)
Date: 2011-05
New Economics Papers: this item is included in nep-ban, nep-bec, nep-cba, nep-mac and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (279)

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Related works:
Journal Article: Financial Cycles: What? How? When? (2011)
Working Paper: Financial Cycles: What? How? When? (2011)
Chapter: Financial Cycles: What? How? When? (2010)
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