Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/58337 
Year of Publication: 
2012
Series/Report no.: 
CESifo Working Paper No. 3824
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
This paper takes a fresh look at the nature of financial and real business cycles in OECD countries using annual data series and shorter quarterly and monthly economic indicators. It first analyses the main characteristics of the cycle, including the length, amplitude, asymmetry and changes of these parameters during expansions and contractions. It then studies the degree of economic and financial cycle synchronisation between OECD countries but also of economic and financial variables within a given country, and gauges the extent to which cycle synchronisation changed over time. Finally, the paper provides some new evidence on the drivers of the great moderation and analyses the banking sector's pro-cyclicality by using aggregate and bank-level data. The main findings show that the amplitude of the real business cycle was becoming smaller during the great moderation, but asset price cycles were becoming more volatile. In part this was linked to developments in the banking sector which tended to accentuate pro-cyclical behaviour.
Subjects: 
real business cycles
financial cycles
great moderation
banking system
financial markets
JEL: 
E32
E44
Document Type: 
Working Paper
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