 Financial cycles around the worldInternational Journal of Finance & Economics, 2022, vol. 27, issue 3, 3163-3201 Abstract: The recent global financial crisis has highlighted the importance of better understanding inherent instability in financial markets invoking recurrent boom‐bust cycles and leading to devastating macroeconomic effects. We use dynamic factor models and state‐space techniques to extract financial cycles for a global sample of 34 advanced and developing countries over the period 1960Q1–2015Q4 as a common factor using a large number of variables conveying price, quantity and risk dynamics in credit, housing, bond and equity markets. In addition to the four segment‐specific and aggregate national financial cycles estimated for each country, we also derive regional and global financial cycles. The analysis reveals highly persistent and recurring nature of financial cycles, which tend to fluctuate at frequencies lower than business cycles, 9–15 years on average, and are indicative of major financial distress episodes. The results point at notable intra‐regional synchronization between financial cycles and confirm the existence of a global financial cycle closely associated with the dynamics of the US T‐Bill rate and the VIX index. Date: 2022 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:27:y:2022:i:3:p:3163-3201 Ordering information: This journal article can be ordered from Access Statistics for this article International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd. |
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