Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/119430
Authors: 
Strohsal, Till
Proaño Acosta, Christian
Wolters, Jürgen
Year of Publication: 
2015
Series/Report no.: 
SFB 649 Discussion Paper 2015-024
Abstract: 
Are financial cycles an international phenomenon, and, if so, how do financial cycles interact? This letter provides new evidence for the US and the UK. Considering the properties of the data in both the time and the frequency domains, we find a strong relation between the financial cycles of the US and the UK. US financial cycles have a significant impact on the UK, but not the other way around. The relation is clearly most pronounced for cycles between 8 and 30 years, which is also the frequency range that explains almost all variation of the data.
Subjects: 
Financial Cycle
Vector Autoregressions
Indirect Spectrum Estimation
Coherency
Granger Causality
JEL: 
C22
E32
E44
Document Type: 
Working Paper

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