Time–frequency characterization of the U.S. financial cycle

Fabio Verona

Economics Letters, 2016, vol. 144, issue C, 75-79

Abstract: Despite an increase in research–motivated by the global financial crisis of 2007–08–empirical studies on the financial cycle are rare compared to those on the business cycle. This paper adds some new evidence to this scarce literature by using a different empirical methodology–wavelet analysis–to extract financial cycles from the data. Our results confirm that the U.S. financial cycle is (much) longer than the business cycle, but we do not find strong evidence supporting the view that the financial cycle has lengthened during the Great Moderation period.

Keywords: Time–frequency estimation; Wavelets; Financial cycle; Business cycle; Credit; Asset prices (search for similar items in EconPapers)
JEL-codes: C49 E32 E44 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176516301343
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Time-frequency characterization of the U.S. financial cycle (2016)
Working Paper: Time-frequency characterization of the U.S. financial cycle (2016)
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:eee:ecolet:v:144:y:2016:i:c:p:75-79

DOI: 10.1016/j.econlet.2016.04.024

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().