Estimation of Aggregate and Segment-specific Financial Cycles for a Global Sample of Countries

Amat Adarov

No 7, wiiw Statistical Reports from The Vienna Institute for International Economic Studies, wiiw

Abstract: The paper reports estimation results and technical details on the estimation of financial cycles for a global sample of 34 advanced and developing countries over the period 1960Q1–2015Q4, as well as introduces a database of financial cycles. We estimate several versions of financial cycles for credit, housing, bond and equity markets as well as aggregate financial cycles for each country in the sample. To this end we use stationary and non-stationary dynamic factor models and state-space techniques to extract financial cycles as a common factor from a large number of variables conveying price, quantity and risk characteristics of financial markets.

Keywords: financial cycles; global and regional financial cycles; asset bubbles; housing prices; equity; debt securities; credit; capital markets; Kalman filter; factor models (search for similar items in EconPapers)
JEL-codes: E44 F30 G15 (search for similar items in EconPapers)
Pages: 165 pages including 432 Tables and 137 Figures
Date: 2018-04
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (2)

Published as wiiw Statistical Report

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