Multi-channel singular-spectrum analysis of financial cycles in ten developed economies for 1970–2018
Marinko Skare () and
Journal of Business Research, 2020, vol. 112, issue C, 567-575
We isolate and analyze financial cycles for ten selected economies based on quarterly time-series data from 1970 to 2018. Our study shows that a global financial cycle lasts nine years on average with long-memory properties (no mean reversion after the shock). Most countries exhibit the same duration (8.93 years) for specific financial cycles, but some countries register longer cycles (Belgium 10.42 years, Denmark 10 years, Germany 10.42 years, and France 9.26 years). Previous financial cycle studies employed a composite index based on an average medium–term cycle, vector autoregression, turning points, and standard frequency-based filters, but could not incorporate all information derived from the data generation process. We obtain more robust and conclusive results by using multi-channel singular-spectrum analysis with the available variables to extract a financial cycle. Policymakers and finance practitioners should recognize the reality of global (and country-specific) financial cycles.
Keywords: Financial cycles; Multi-channel singular-spectrum analysis (MSSA); Spectrum analysis; Frequency domain; Credits (search for similar items in EconPapers)
JEL-codes: C15 C32 C60 E30 E32 E44 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: 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:jbrese:v:112:y:2020:i:c:p:567-575
Access Statistics for this article
Journal of Business Research is currently edited by A. G. Woodside
More articles in Journal of Business Research from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().