Are Business and Credit Cycles Converging or Diverging? A Comparison of Poland, Hungary, the Czech Republic and the Euro Area

46 Pages Posted: 27 Oct 2010

See all articles by Sanvi Avouyi-Dovi

Sanvi Avouyi-Dovi

Banque de France; ICN Business School

Rafaƚ Kierzenkowski

Université Paris IX Dauphine

Catherine Lubochinsky

Banque de France

Date Written: May 1, 2006

Abstract

This paper provides an analysis of co-movements between real and financial variables in three new EU member countries (the Czech Republic, Hungary and Poland) and the euro area. It focuses on the co-movement between real credit granted to firms and real industrial output on the one hand, and between the aforementioned variables and a monetary policy indicator (the three-month real interest rate) on the other. Given that there is no single definition for the business cycle, we take three different approaches: we identify the turning points in the series and then estimate a concordance index; we decompose and compare the cyclical components of the series; and we calculate dynamic correlations across the variables. We find a better convergence of real than financial cycles between the new EU members and the euro area. There is no a high degree of dependence between loans and industrial output in all countries; yet, monetary policy appears to smooth the distribution of credit throughout the cycles.

Keywords: Co-Movements, Turning Points, Spectral Analysis, Credit Cycle, Business Cycle, New EU Member States

JEL Classification: E23, E32, E44, E51, P00

Suggested Citation

Avouyi-Dovi, Sanvi and Kierzenkowski, Rafaƚ and Lubochinsky, Catherine, Are Business and Credit Cycles Converging or Diverging? A Comparison of Poland, Hungary, the Czech Republic and the Euro Area (May 1, 2006). Banque de France Working Paper No. NER-E 144, Available at SSRN: https://ssrn.com/abstract=1698161 or http://dx.doi.org/10.2139/ssrn.1698161

Sanvi Avouyi-Dovi (Contact Author)

Banque de France ( email )

Paris
France

ICN Business School ( email )

13 rue du Marechal Ney
Nancy, 54000
France

Rafaƚ Kierzenkowski

Université Paris IX Dauphine ( email )

Place du Marchal De Lattre de Tassigny
75775 Paris
France
+33 1 44 05 49 47 (Phone)
+33 1 44 05 40 98 (Fax)

Catherine Lubochinsky

Banque de France ( email )

Paris
France

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