Short and medium term financial-real cycles: An empirical assessment

Engelbert Stockhammer, Robert Calvert Jump, Karsten Kohler and Julian Cavallero

No 29-2018, FMM Working Paper from IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute

Abstract: Theories such as Minsky's financial instability hypothesis or New Keynesian financial accelerator models assign a key role to financial factors in business cycle dynamics. We present descriptive statistics and a simple estimation framework to examine the financial-real interaction mechanisms that are at the core of these theories. Specifically, we examine cycle frequencies in seven OECD countries over the period 1970 to 2015, and find that interest rates, business debt, and household debt exhibit cycle lengths of 4-6, 8-11, and 14-26 years, respectively. We then estimate bivariate VAR models which provide evidence for financial-real interaction mechanisms, (i) at high frequencies between interest rates and GDP, and (ii) at low frequencies between business debt and GDP. In contrast, there is no evidence for a cycle mechanism between household debt and GDP.

Keywords: Minsky; financial accelerator; financial cycle; business cycle (search for similar items in EconPapers)
JEL-codes: E32 G01 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2018
New Economics Papers: this item is included in nep-mac and nep-pke
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.boeckler.de/pdf/p_fmm_imk_wp_29_2018.pdf (application/pdf)

Related works:
Journal Article: Short and medium term financial-real cycles: An empirical assessment (2019)
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:imk:fmmpap:29-2018

Access Statistics for this paper

More papers in FMM Working Paper from IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute Contact information at EDIRC.
Bibliographic data for series maintained by Sabine Nemitz ().