Characterizing the Financial Cycle: Evidence from a Frequency Domain Analysis

Till Strohsal, Christian Proaño and Juergen Wolters

VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy from Verein für Socialpolitik / German Economic Association

Abstract: A growing strand of literature argues that the financial cycle is considerably longer and larger than the business cycle and that its importance is increasing over time. This paper proposes an empirical approach which is suitable to test these hypotheses. We parametrically estimate the whole spectrum of financial and real variables to obtain a complete picture of their cyclical properties. We provide strong statistical evidence for the hypothesized features of the financial cycle for the US and only slightly weaker evidence for the UK. For Germany, however, distinct characteristics of the financial cycle are, if at all, much less visible.

JEL-codes: C22 E32 E44 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (41)

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Related works:
Journal Article: Characterizing the financial cycle: Evidence from a frequency domain analysis (2019)
Working Paper: Characterizing the financial cycle: evidence from a frequency domain analysis (2017)
Working Paper: Characterizing the financial cycle: Evidence from a frequency domain analysis (2015)
Working Paper: Characterizing the financial cycle: Evidence from a frequency domain analysis (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc15:113143

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