Financial cycles in Europe: dynamics, synchronicity and implications for business cycles and macroeconomic imbalances
Amat Adarov
Empirica, 2023, vol. 50, issue 2, No 10, 583 pages
Abstract:
Abstract Using dynamic factor models and state-space techniques we quantify financial cycles for twenty European countries over the period 1960Q1–2015Q4 capturing imbalances across credit, housing, bond and equity markets. The paper documents the existence of slow-moving and persistent financial cycles, as well as cross-country synchronicity patterns in Europe. Spillover analysis points at the significant role the global financial cycle and the regional European financial cycle play in shaping national financial market dynamics. Quarterly Bayesian panel VAR estimations suggest that financial cycles influence business cycles and public debt dynamics, with stronger shock transmission observed in the euro area and systemic European economies.
Keywords: Financial cycles; Macroeconomic imbalances; Business cycles; Spillovers; Panel VAR; Bayesian VAR (search for similar items in EconPapers)
JEL-codes: E44 F4 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://link.springer.com/10.1007/s10663-022-09566-5 Abstract (text/html)
Access to the full text of the articles in this series is restricted.
Related works:
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:kap:empiri:v:50:y:2023:i:2:d:10.1007_s10663-022-09566-5
Ordering information: This journal article can be ordered from
http://www.springer. ... ration/journal/10663
DOI: 10.1007/s10663-022-09566-5
Access Statistics for this article
Empirica is currently edited by Fritz Breuss and Fritz Breuss
More articles in Empirica from Springer, Austrian Institute for Economic Research, Austrian Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().