Duration of Global Financial Cycles

Yilmaz Akdi, Serdar Varlik and M. Hakan Berument

Physica A: Statistical Mechanics and its Applications, 2020, vol. 549, issue C

Abstract: The duration of Global Financial Cycles (GFCs) have a role in the global financial environment which is shaped by the fluctuations in short-term capital flows, changes in monetary conditions in the center economies and co-movement in asset prices. The duration of GFCs for a set of global financial data – the VIX index, the TED spread and the 3-Month LIBOR-Effective Federal Funds Rate – are analyzed by using a periodogram-based method. Our results suggest that there is a 43-month common cycle for these three series. We obtain eight different cycle periods for 43-month common cycles from our sample period.

Keywords: Global Financial Cycles; Spectral analysis; Periodogram (search for similar items in EconPapers)
JEL-codes: C22 C32 E32 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:549:y:2020:i:c:s0378437120301102

DOI: 10.1016/j.physa.2020.124331

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