Strohsal, Till Proaño, Christian R. Wolters, Jürgen
Year of Publication:
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2015: Ökonomische Entwicklung - Theorie und Politik - Session: Empirical Finance E19-V2
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.