 Isolating financial cycles using the fractional cyclical model in selected economies: 1970–2019Marinko Skare, Luis Gil-Alana and Małgorzata Porada-Rochon Structural Change and Economic Dynamics, 2025, vol. 72, issue C, 67-77 Abstract: We attempt in this paper to identify financial cycles in 43 countries using data from 1970 to 2019. We use a model based on stochastic cycles that employ fractional integration. The results indicate that the average duration of the cycles is 23 years for Denmark, India, South Korea, Sweden, Spain, Switzerland, and the United States. Our study contributes to the field of research by proposing an alternative model and method for researching financial cycles. The advantage of using such an approach is the ability to isolate more robust stochastic cycles allowing for the possibility of the existence of multiple financial cycles in financial data. It is also found that the credit-GDP ratio exhibits long memory and persistent behavior at the long run frequency. Long memory is found in a number of countries at the cyclical structure with shock of the dynamics of the financial cycle lasting long before disappearing in some of the countries examined. Keywords: Financial cycles; Long memory; Persistence (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:streco:v:72:y:2025:i:c:p:67-77 DOI: 10.1016/j.strueco.2024.10.001 Access Statistics for this article Structural Change and Economic Dynamics is currently edited by F. Duchin, H. Hagemann, M. Landesmann, R. Scazzieri, A. Steenge and B. Verspagen More articles in Structural Change and Economic Dynamics from Elsevier |
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