The Financial Cycles in Four East Asian Economies

Victor Pontines

Working Papers from South East Asian Central Banks (SEACEN) Research and Training Centre

Abstract: This paper characterizes proxy measures of financial cycles using available data on four East Asian economies, viz., Hong Kong, Malaysia, the Philippines and Thailand. Spectral analysis is adopted to characterize the financial cycles and these cycles are compared with the business cycles of the four East Asian economies. The empirical findings indicated that with the exception of the equity price growth in Hong Kong, the period of the proxy measures for financial cycles is slightly longer than the period of the business cycle. More to the point, there is no evidence to show that the period of the proxy measures for financial cycles in these economies are operating at low frequencies similar to the period of the cycles of between 8 to 32 years observed for advanced economies such as the US, UK and Germany. Taking one step further, the paper finds that the financial cycles of these four economies are better captured by a band-pass filter estimated using the periods obtained in the paper as opposed to using long period cycles of between 8 to 32 years. These findings imply that one needs to be careful in making an a priori assumption on the frequency range the financial cycle is believed to operate.

Keywords: Financial Cycle; Business Cycle; Frequency-Domain; Periods; Frequency; ARMA Modeling; Spectral Densities (search for similar items in EconPapers)
JEL-codes: C22 E32 E44 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2016-12
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.seacen.org/publications/RePEc/702003-100403-PDF.pdf (application/pdf)

Related works:
Journal Article: The financial cycles in four East Asian economies (2017)
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:sea:wpaper:wp17

Access Statistics for this paper

More papers in Working Papers from South East Asian Central Banks (SEACEN) Research and Training Centre Contact information at EDIRC.
Bibliographic data for series maintained by Azharin ().