Characterizing the financial cycle: Evidence from a frequency domain analysis

Arbeitspapier

A growing body of literature argues that the financial cycle is considerably longer in duration and larger in amplitude than the business cycle and that its distinguishing features became more pronounced over time. This paper proposes an empirical approach 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 US and slightly weaker evidence for the UK validating the hypothesized features of the financial cycle. In Germany, however, the financial cycle is, if at all, much less visible.

Object Details

• ISBN: 978-3-95729-170-7
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bundesbank Discussion Paper ; No. 22/2015

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Business Fluctuations; Cycles ; Financial Markets and the Macroeconomy
• Subject: Financial Cycle ; Business Cycle ; Indirect Spectrum Estimation ; Bootstrapping Inference

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Strohsal, Till ; Proaño, Christian R. ; Wolters, Jürgen
• Event: Veröffentlichung
• (who): Deutsche Bundesbank
• (where): Frankfurt a. M.
• (when): 2015

Further information

• Handle: http://hdl.handle.net/10419/112764
• Last update: 10.03.2025, 11:42 AM CET