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Alternative Measures for the Global Financial Cycle: Do They Make a Difference?

Xin Tian, Jan Jacobs () and Jakob de Haan ()

No 9730, CESifo Working Paper Series from CESifo

Abstract: We construct several measures for the global financial cycle using dynamic factor models and data for 25 advanced and emerging countries over 1980-2019. Our results suggest that global cycles in asset prices and capital flows are highly similar and synchronized, especially during crisis episodes. Our measures for asset-specific global cycles suggest that cycles in credit and house prices are less volatile and have a longer duration than cycles in equity and bond prices. Finally, we find significant co-movement of our global financial cycle measures and two measures as suggested in the literature that are based on top-down and bottom-up approaches.

Keywords: global financial cycle; national financial cycle; dynamic factor analysis; capital flows; asset prices (search for similar items in EconPapers)
JEL-codes: E44 F32 F36 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-fdg, nep-ifn, nep-mac, nep-mon and nep-opm
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_9730

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