The synchronization of credit cycles
Barbara Meller and
Norbert Metiu ()
Journal of Banking & Finance, 2017, vol. 82, issue C, 98-111
This paper proposes a simple econometric procedure to test for the synchronization of credit cycles. Using a century of data for 14 advanced economies, we find that credit cycle synchronization dropped in the early 1920s from initially relatively high levels. Between the 1920s and the 1970s synchronization was overall low and concentrated within five, predominantly regional, clusters. However, synchronization has significantly increased in the post-Bretton Woods era and has become less associated with geographic proximity: Australia, Denmark, France, Italy, Japan, Norway, Spain, Switzerland, the UK, and the US form a single major credit cycle cluster since the 1970s. A smaller cluster is formed by Canada, the Netherlands, and Sweden, while the German credit cycle follows a distinct path. Using logistic regressions, we find that the synchronization of credit and business cycles go hand in hand. Our findings are especially relevant for the international coordination of macroprudential policy, as well as to spur and inform further analysis on credit cycle dynamics.
Keywords: Clustering; Credit booms; Credit cycles; Synchronization (search for similar items in EconPapers)
JEL-codes: C32 F34 G15 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:82:y:2017:i:c:p:98-111
Access Statistics for this article
Journal of Banking & Finance is currently edited by Ike Mathur
More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().