Characterising the Financial Cycle: Don't Lose Sight of the Medium Term!

By Mathias Drehmann, C. Borio, Kostas Tsatsaronis. 2012

563 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c3bae67fbaad48039ba49848b26bab594fb6cf51

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Citations in the corpus

Asset Price Bubbles and Systemic Risk (2019, unknown): “While parts of the recent literature have argued that business cycles and financial cycles have become less connected in recent years (e. g., Drehmann, Borio, and Tsatsaronis, 2012), this may not be true for our entire sample.”
House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy (2013, background): “Dupor (2005) considers the policy implications of nonfundamental asset-price movements which are driven by exogenous “expectation shocks.” He finds that optimal monetary policy should lean against non-fundamental asset-price movements. Gilchrist and Saito (2008) find that an interest rate response t”
International Channels of Transmission of Monetary Policy and the Mundellian Trilemma (2015, unknown): “15The global financial cycle is different from the national financial cycles described by Drehmann et al. (2012) who emphasize the domestic cycles in credit and real estate prices.”
Cost-benefit analysis of leaning against the wind (2017, unknown): “It follows that the marginal cost of LAW and the marginal benefits from lower probability and 27 However, with the financial cycle as in Drehmann et al. (2012) including real debt and debt to GDP, by the discussion in section 1, the policy-rate effect on it is likely to be small and possibly even of”
Rethinking Potential Output: Embedding Information About the Financial Cycle (2013, unknown): “…is also consistent with the growing empirical literature highlighting their information content for business fluctuations and financial crises (eg, Borio and Lowe (2002), Alessi and Detken (2009), Drehmann et al (2012), Claessens et al (2011a,b), Aikman et al (2011), Schularick and Taylor (2011)).”
Monetary Policy and Financial Stability: What Role in Prevention and Recovery? (2014, unknown): “This is what the academic literature almost exclusively focuses on (eg, Eggertsson and Krugman (2012)).”
Operationalising the Countercyclical Capital Buffer: Indicator Selection, Threshold Identification and Calibration Options (2014, methodology): “Recent research has provided important insights into the characterisation of the financial cycle: see Aikman et al. (2011), Claessens et al. (2011a, 2011b), Busch (2012), Drehmann et al. (2012) and Schularick and Taylor (2012).”
Financial Flows and the International Monetary System (2015, unknown): “5 The global financial cycle is related to, but different from, the national financial cycles described by Drehmann et al. (2012), who emphasise in particular the cycles in credit and real estate prices. 6 For the precise list of countries see Appendix A. For more details on leverage and credit grow”
Global Financial Cycles and Risk Premiums (2018, methodology): “…Financial cycles are typically characterized by relatively low frequency movements, with one cycle lasting between 8 to 16 years according to Drehmann et al. (2012), while Schüler et al. (2015) find important 2In the subsequent correlation analysis we detrend all series with the exception…”
Financial Stability and Economic Performance (2015, unknown): “Measures of financial cycles (Drehmann et al., 2012) show that financial cycles have a much lower frequency than the traditional business cycles.”