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
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: Suggested Citation