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Erscheinungsjahr: 
2022
Schriftenreihe/Nr.: 
CESifo Working Paper No. 9730
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
We construct several measures for the global financial cycle using dynamic factor models and data for 25 advanced and emerging countries over 1980-2019. Our results suggest that global cycles in asset prices and capital flows are highly similar and synchronized, especially during crisis episodes. Our measures for asset-specific global cycles suggest that cycles in credit and house prices are less volatile and have a longer duration than cycles in equity and bond prices. Finally, we find significant co-movement of our global financial cycle measures and two measures as suggested in the literature that are based on top-down and bottom-up approaches.
Schlagwörter: 
global financial cycle
national financial cycle
dynamic factor analysis
capital flows
asset prices
JEL: 
E44
F32
F36
Dokumentart: 
Working Paper
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