Financial Cycles in Credit, Housing and Capital Markets: Evidence from Systemic Economies

Amat Adarov

No 140, wiiw Working Papers from The Vienna Institute for International Economic Studies, wiiw

Abstract: The study estimates aggregate financial cycles and segment-specific cycles for credit, equity, bond and housing markets of the USA, the UK, Germany and Japan over the period 1960-2015 using dynamic factor models with state-space techniques based on a range of variables conveying market price, quantity and risk dynamics. The analysis reveals a highly persistent and recurring nature of financial cycles reflecting the build-up of financial imbalances in each segment with an estimated average cycle duration of about ten years. The significant co-movements and spillovers that we find among many of the segment-specific cycles suggest that well-diversified financial systems are prone to the risks associated with the mutual amplification of nominal shocks via linkages between financial market segments, which needs to be taken into account in the design of policies addressing asset bubbles and financial imbalances.

Keywords: financial cycles; asset bubbles; financial stability; housing prices; equity; debt securities; credit; capital markets; spillovers; Kalman filter; factor models (search for similar items in EconPapers)
JEL-codes: E44 E50 F37 G15 (search for similar items in EconPapers)
Pages: 81 pages including 14 Tables and 31 Figures
Date: 2017-12
New Economics Papers: this item is included in nep-eec, nep-mac and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published as wiiw Working Paper

Downloads: (external link)
https://wiiw.ac.at/financial-cycles-in-credit-hous ... onomies-dlp-4379.pdf (application/pdf)

Related works:
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:wii:wpaper:140

Ordering information: This working paper can be ordered from
https://wiiw.ac.at

Access Statistics for this paper

More papers in wiiw Working Papers from The Vienna Institute for International Economic Studies, wiiw Contact information at EDIRC.
Bibliographic data for series maintained by Customer service ().