Cycles réel et du crédit: convergence ou divergence ?. Une comparaison Pologne, Hongrie, République tchèque et zone euro

Sanvi Avouyi-Dovi, Rafał Kierzenkowski and Catherine Lubochinsky

Revue économique, 2006, vol. 57, issue 4, 851-879

Abstract: This paper provides an analysis of co-movements between real and financial variables in three new eu member countries (the Czech Republic, Hungary and Poland) and the euro area. It focuses on the co-movement between real credit granted to firms and real industrial output on the one hand, and between the aforementioned variables and a monetary policy indicator (the three-month real interest rate) on the other. Given that there is no single definition for the business cycle, we take three different approaches: we identify the turning points in the series and then estimate a concordance index; we decompose and compare the cyclical components of the series; and we calculate dynamic correlations across the variables. We find a better convergence of real than financial cycles between the new eu members and the euro area. There is no a high degree of dependence between loans and industrial output in all countries; yet, monetary policy appears to smooth the distribution of credit throughout the cycles. Classification JEL : E23, E32, E44, E51, P00

JEL-codes: E23 E32 E44 E51 P00 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (1)

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