Konferenzbeitrag

Characterizing the Financial Cycle: Evidence from a Frequency Domain Analysis

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.

Language
Englisch

Bibliographic citation
Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2015: Ökonomische Entwicklung - Theorie und Politik - Session: Empirical Finance ; No. E19-V2

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

Event
Geistige Schöpfung
(who)
Strohsal, Till
Proaño, Christian R.
Wolters, Jürgen
Event
Veröffentlichung
(when)
2015

Handle
Last update
10.03.2025, 11:45 AM CET

Data provider

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Object type

  • Konferenzbeitrag

Associated

  • Strohsal, Till
  • Proaño, Christian R.
  • Wolters, Jürgen

Time of origin

  • 2015

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