The Global Business Cycle within the New Commodities and the Financial Cycle: An Empirical Evidence Based on a Multivariate Unobserved Components Model (UCM)

Hakim Amira and Eleftherios Thalassinos

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Abstract: The recent analysis focused on gold and energy as hedge fund and channel for the cyclicity of the economic system. Within the occurrence of the prominent crisis, the financial cycle became a nexus relation with the real sphere. The aim of this chapter is to investigate the impact of the commodities and the stock market on the global business cycle within filtering based on HP and Band Pass filter for the period Q1-1984 to Q4-2020. We review the literature on the business cycle, commodities, and financial cycle research. We find which HP trend is close to the estimated trend of global GDP based on a multivariate UC model. We provide a Band-Pass filter to examine the upswing and downswing commodities cycle as well as the financial cycle. We construct a multivariate unobserved component model that includes the gold price, the crude oil price, and the financial cycle as the independent component within the model. The estimation of the model found that oil has a lag impact on the fluctuation of the business cycle, it reacts as an impulsion for the crisis, compared to the gold and the global financial cycle which reacts simultaneously with the trend of the global business cycle.

Keywords: global business cycle; financial cycle; gold; oil; filtering; multivariate UCM (search for similar items in EconPapers)
JEL-codes: O10 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ito:pchaps:316167

DOI: 10.5772/intechopen.111482

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