Time-frequency characterization of the U.S. financial cycle

Fabio Verona

No 14/2016, Bank of Finland Research Discussion Papers from Bank of Finland

Abstract: Despite an increase in research – motivated by the global financial crisis of 2007-08 – empirical studies on the financial cycle are rare compared to those on the business cycle. This paper adds some new evidence to this scarce literature by using a different empirical methodology – wavelet analysis – to extract financial cycles from the data. Our results confirm that the U.S. financial cycle is (much) longer than the business cycle, but we do not find strong evidence supporting the view that the financial cycle has lengthened during the Great Moderation period.

JEL-codes: C49 E32 E44 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Time–frequency characterization of the U.S. financial cycle (2016)
Working Paper: Time-frequency characterization of the U.S. financial cycle (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bofrdp:rdp2016_014

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