The Korean Financial Cycle (in Korean)

Jungyeoun Lee () and Yang Su Park ()
Additional contact information
Jungyeoun Lee: Financial Stability Research Team, Financial Stability Department, The Bank of Korea
Yang Su Park: Financial Stability Research Team, Financial Stability Department, The Bank of Korea

Economic Analysis (Quarterly), 2015, vol. 21, issue 3, 137-155

Abstract: This report has extracted cyclical patterns from economic indicators befitting the concept and characteristics of a financial cycle, calculated a composite index for the financial cycle and looked into Korea's financial cycle conditions. The composite financial cycle index was calculated based on whether the cyclical components' peaks are close to the times of financial unrest, and whether the indicators used for measuring the financial cycle are synchronized with each other. Based upon this we selected three indicators: the ratio of private credit to nominal GDP, real housing prices, and the share of non-core liabilities, standardized their cyclical components, and calculated the average. According to this Korea is found to have experienced five financial cycles since 1986. The average financial cycle length has been 23 quarters (5.8 years), longer than that of the real cycle (4.1 years). Korea has been in the expansionary phase of the fifth financial cycle since the fourth quarter of 2010. After having faltered for a bit due to the government's measures against household debt, the cycle has sustained its expansionary phase since 2014. Meanwhile, the synchronization of Korea's real economic and financial cycles had strengthened in the 2000s, but since the global financial crisis has now weakened.

Keywords: Financial cycle; Business cycle; Band-pass filter; Turning-point analysis (search for similar items in EconPapers)
JEL-codes: E30 E44 E50 (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.bok.or.kr/ucms/cmmn/file/fileDown.do?m ... 00001016952&fileSn=1 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bok:journl:v:21:y:2015:i:3:p:137-155

Access Statistics for this article

Economic Analysis (Quarterly) is currently edited by Wook Sohn, Hwan-koo Kang and Jaerang Lee

More articles in Economic Analysis (Quarterly) from Economic Research Institute, Bank of Korea Contact information at EDIRC.
Bibliographic data for series maintained by Economic Research Institute ().