Business cycles, credit cycles, and asymmetric effects of credit fluctuations: Evidence from Italy for the period of 1861–2013
Bruno Chiarini (),
Elisabetta Marzano and
Paolo Piselli ()
Journal of Macroeconomics, 2019, vol. 61, issue C, -
We propose a joint dating of Italian business and credit cycles on a historical basis by applying a local turning-point dating algorithm to the level of the variables. In addition to short cycles corresponding to traditional business cycle fluctuations, we also investigate medium cycles because there is evidence that financial booms and busts are longer and more persistent than business cycles. The results show that medium-term cycles account for the largest part of fluctuations of the Italian credit cycle. Second, we find evidence that credit and business cycles are weakly synchronized in the medium term, whereas they steadily comove in the short term, when the GDP cycle is leading the bank credit cycle. However, the study found that, over the medium cycles, economic downturns associated with credit crunches and financial disruption are more severe than other types of economic downturns. Finally, by modelling interaction between credit and business cycles in a simple threshold VAR model, we confirm that GDP response to credit shock is much more intense in the recessionary phase of credit cycle.
Keywords: Business fluctuations; Financial cycle; Bank credit; Medium-term fluctuations (search for similar items in EconPapers)
JEL-codes: E32 E44 N13 N14 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) 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:jmacro:v:61:y:2019:i:c:16
Access Statistics for this article
Journal of Macroeconomics is currently edited by Douglas McMillin and Theodore Palivos
More articles in Journal of Macroeconomics from Elsevier
Bibliographic data for series maintained by Haili He ().