The Synchronization of Business Cycles and Financial Cycles in the Euro Area

William Oman

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Abstract: Using a frequency-based filter, I document the existence of a euro-area financial cycle and high- and low-amplitude national financial cycles. Applying concordance and similarity analysis to business and financial cycles, I provide evidence of five empirical regularities: (i) the aggregate euro-area creditto- GDP ratio behaved procyclically in the years preceding euro-area recessions; (ii) financial cycles are less synchronized than business cycles; (iii) business cycle synchronization has increased while financial cycle synchronization has decreased; (iv) financial cycle desynchronization was more pronounced between high-amplitude and low-amplitude countries, especially Germany; (v) high-amplitude countries and Germany experienced divergent leverage dynamics after 2002.

Keywords: Business cycle; Economic integration; Euro area; Financial cycle; Monetary policy (search for similar items in EconPapers)
Date: 2019-03
New Economics Papers: this item is included in nep-bec, nep-eec, nep-mac and nep-opm
Note: View the original document on HAL open archive server: https://hal.science/hal-02076848
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Citations: View citations in EconPapers (26)

Published in International Journal of Central Banking, 2019, 15 (1), pp.327-362

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Related works:
Journal Article: The Synchronization of Business Cycles and Financial Cycles in the Euro Area (2019)
Working Paper: The Synchronization of Business Cycles and Financial Cycles in the Euro Area (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02076848

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