Time-Frequency Characterization of the U.S. Financial Cycle

11 Pages Posted: 31 May 2016 Last revised: 2 Oct 2017

Date Written: May 23, 2016

Abstract

Despite an increase in research – motivated by the global financial crisis of 2007-08 – empirical studies on the financial cycle are rare compared to those on the business cycle. This paper adds some new evidence to this scarce literature by using a different empirical methodology – wavelet analysis – to extract financial cycles from the data. Our results confirm that the U.S. financial cycle is (much) longer than the business cycle, but we do not find strong evidence supporting the view that the financial cycle has lengthened during the Great Moderation period.

Keywords: time-frequency estimation, wavelets, financial cycle, business cycle, credit, asset prices

JEL Classification: C49, E32, E44

Suggested Citation

Verona, Fabio, Time-Frequency Characterization of the U.S. Financial Cycle (May 23, 2016). Bank of Finland Research Discussion Paper No. 14/2016. Available at SSRN: https://ssrn.com/abstract=2784181

Fabio Verona (Contact Author)

Bank of Finland - Research ( email )

P.O. Box 160
FIN-00101 Helsinki
Finland

HOME PAGE: http://bofcris.solenovo.fi/crisyp/disp/_/en/cr_redir_all/fet/fet/sea?direction=3&id=3827426

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
107
Abstract Views
460
rank
265,301
PlumX Metrics