Identifying the Financial Cycle in Slovakia

Patrik Kupkovic and Martin Šuster

No WP 2/2020, Working and Discussion Papers from Research Department, National Bank of Slovakia

Abstract: The concept of a financial cycle has become a matter of immediate concern for central bankers. The aim of this paper is to construct an aggregate indicator of the financial cycle from input indicators such as credit growth, house prices, debt burden, credit standards, interest rate spreads, and current account deficit-to-GDP ratio. We contribute to the literature with additional evidence on the financial cycle for small open economies with shallow financial markets. Expansionary and contractionary periods of a financial cycle identified by the indicator can be a valuable source of information for policy makers.

Keywords: financial cycle; credit growth; house prices; small open economy (search for similar items in EconPapers)
JEL-codes: E30 E44 E51 G10 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2020-02
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:svk:wpaper:1070

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