Financial and Business Cycles: Shall We Dance?: An Application to Kazakhstan

Gregorio Impavido

No 2024/182, IMF Working Papers from International Monetary Fund

Abstract: This paper examines the role of financial cycle proxies in refining available estimates of the business cycle in Kazakhstan. It contributes to the existing literature by introducing a formal test for the stability of the mean of exogenous variables in the estimation set up, and by developing a self-contained statistical package to streamline the whole estimation process. The empirical strategy is designed to be parsimonious, aiming to avoid the pitfalls associated with overly complex models while achieving comparable results. Results have implications for the extent with which the authorities should manage the business and financial cycles, with which policies, for macroprudential policy calibration, and for the usefulness for policymaking of endsample estimates of the cycle.

Keywords: Business cycle; financial cycle; HP filter; multivariate filter; estimation strategy; cumulative sum test; estimation process; B. select literature survey; house price inflation; HP business cycle estimate; Business cycles; Financial cycles; Credit; Housing prices; Inflation; Global (search for similar items in EconPapers)
Pages: 36
Date: 2024-08-23
New Economics Papers: this item is included in nep-fdg
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