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Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies*
Oxford Bulletin of Economics and Statistics ( IF 2.5 ) Pub Date : 2021-09-02 , DOI: 10.1111/obes.12459
Jasper de Winter 1 , Siem Jan Koopman 2, 3, 4 , Irma Hindrayanto 5
Affiliation  

We discuss a model-based simultaneous decomposition of multiple time series in short-term and medium-term cyclical dynamics. We associate short-term dynamic features with the business cycle and medium-term dynamic features with the financial cycle. For eight advanced economies, we analyse a set of macroeconomic and financial time series data. A strong and common finding among all economies is the co-cyclicality of medium-term cycles, especially those corresponding to house price and gross domestic product variables. We also find empirical evidence that the house price is partly driven by the credit cycle. Most cyclical movements in the country-specific time series appear to be driven by domestic rather than global factors.

中文翻译:

商业和金融周期的联合分解:来自八个发达经济体的证据*

我们讨论了在短期和中期周期性动态中基于模型的多个时间序列的同时分解。我们将短期动态特征与商业周期联系起来,将中期动态特征与金融周期联系起来。对于八个发达经济体,我们分析了一组宏观经济和金融时间序列数据。所有经济体的一个强有力的共同发现是中期周期的共周期性,尤其是那些与房价和国内生产总值变量相对应的周期。我们还发现经验证据表明房价部分受信贷周期驱动。特定国家时间序列中的大多数周期性变动似乎是由国内因素而非全球因素驱动的。
更新日期:2021-09-02
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