Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/119429
Authors: 
Strohsal, Till
Proaño Acosta, Christian
Wolters, Jürgen
Year of Publication: 
2015
Series/Report no.: 
SFB 649 Discussion Paper 2015-021
Abstract: 
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 hypothe- ses. 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.
Subjects: 
Financial Cycle
Business Cycle
Indirect Spectrum Estimation
Bootstrapping Inference
JEL: 
C22
E32
E44
Document Type: 
Working Paper

Files in This Item:
File
Size
682.48 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.