Financial Cycles: What? How? When?
By Stijn Claessens, M. Ayhan Kose, Marco E. Terrones, Frank Diebold, Sandra Eickmeier, Charles M. Engel, Martin Feldstein, Michael W. Klein, L. Reichlin, Ken West and 4 more. NBER International Seminar on Macroeconomics, 2011
122 citations recorded by the source corpus.
This paper provides a comprehensive analysis of financial cycles using a large database covering 21 advanced countries over the period 1960:1-2007:4. Specifically, we analyze cycles in credit, house prices, and equity prices. We report three main results. First, financial cycles tend to be long and severe, especially those in housing and equity markets. Second, they are highly synchronized within countries, particularly credit and house price cycles. The extent of synchronization of financial cycles across countries is high as well, mainly for credit and equity cycles, and has been increasing over time. Third financial cycles accentuate each other and become magnified, especially during coincident downturns in credit and housing markets. Moreover, globally synchronized downturns tend to be associated with more prolonged and costly episodes, especially for credit and equity cycles. We discuss how these findings can guide future research on various aspects of financial market developments.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/9d4f1033221a542bb18dc4dd5dd08736669ad9f3
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Citations in the corpus
- A Tie That Binds: Revisiting the Trilemma in Emerging Market Economies (2017, unknown): “(2001); Frankel et al. (2004); Shambaugh (2004); Obstfeld et al.”
- Financial Crises: Explanations, Types, and Implications (2013, unknown): “Fluctuations in capital flows can amplify movements in local financial markets when inflows lead to a significant increase in the funds available to banks, relaxing credit constraints for corporations and households (Claessens et al. 2010).”
- How Long Do Housing Cycles Last? A Duration Analysis for 19 OECD Countries (2011, unknown): “To control for that, similarly to Claessens et al. (2011), I include a measure of credit to the private sector ( ) in the equation.”
- The Financial Cycle and Macroeconomics: What Have We Learnt? (2014, unknown): “In between, studies have looked at the behaviour of credit and asset prices series taken individually, among other variables (eg, Claessens et al (2011a, 2011b)).”
- When Credit Bites Back (2013, unknown): “Jordà, Schularick, and Taylor (2011) as well as Claessens, Kose, and Terrones (2011) experimented with the Bry and Boschan (1971) algorithm—the closest algorithmic interpretation of the NBER's definition of recession.”
- Housing Cycles and Macroeconomic Fluctuations: A Global Perspective (2012, background): “The implications of this paper are also related to a series of studies by Claessens, Kose, and Terrones (2009, 2010, 2011).”