Extracting and Measuring Periodicities of Credit and Housing Cycles: Evidence from Eight Economies

Victor Pontines

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

Abstract: This paper employs the Empirical Mode Decomposition technique to extract the credit and housing cycles in the four emerging East Asian economies of Hong Kong, Korea, Malaysia and Thailand, and these are compared to four advanced economies of Germany, Japan, United Kingdom and the United States. Based on a Lomb-Scargle periodogram analysis, the study finds that, with the exception of the credit cycle in Korea, the periodicities of the credit and housing cycles of the East Asian emerging economies are either close to or below the stylized cut-off of eight years. On the other hand, the credit and housing cycles of the four advanced economies have periodicities that are longer than eight years, in line with recent evidence.

Keywords: Credit Cycle; Financial Cycle; Empirical Mode Decomposition; Period of the Cycle (search for similar items in EconPapers)
JEL-codes: C22 E32 E51 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2017-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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