Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/204010
Authors: 
Adarov, Amat
Year of Publication: 
2018
Series/Report no.: 
wiiw Working Paper 145
Abstract: 
The study analyses financial cycles based on a global sample of 34 advanced and developing countries over the period 1960Q1 to 2015Q4. We use dynamic factor models and state-space techniques to estimate financial cycles in credit, housing, bond and equity markets, as well as aggregate financial cycles for each country in the sample using a large number of variables conveying price, quantity and risk characteristics of respective markets. The analysis reveals the highly persistent and recurring nature of financial cycles, which tend to fluctuate at frequencies much lower than business cycles, 9‑15 years on average, and are indicative of major financial distress episodes. Our results point to notable intra-regional synchronisation, as well as nontrivial co-movement tendencies between European, American and Asian financial cycles. We also extract global and regional financial cycles, the former closely associated with the dynamics of the US T-bill rate and the VIX index, confirming the existence of common supranational factors governing the boom-bust dynamics of financial market activity around the world.
Subjects: 
financial cycles
global and regional financial cycles
asset bubbles
housing prices
equity
debt securities
credit
capital markets
Kalman filter
factor models
JEL: 
E44
E50
F37
G15
Document Type: 
Working Paper

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