We study the cross-country dimension of financial cycles for six euro area countries using wavelet analysis. Estimated wavelet cohesions show that cycles in equity prices and interest rates display stronger synchronization across countries than real output cycles, whereas credit variables and house prices show lower cross-country synchronization. We propose a wavelet-based extension to the spectral envelope that is similar to a frequency-based time-varying principal component analysis. The country loadings show that, contrary to all other variables, cycles in loans to households and house prices in Germany and the Netherlands are negatively or less strongly correlated with the common cycles.

中文翻译：

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欧元区经济体的金融周期：使用小波分析的跨国视角*

我们使用小波分析研究了六个欧元区国家金融周期的跨国维度。估计的小波内聚表明，与实际产出周期相比，股票价格和利率周期在国家间表现出更强的同步性，而信贷变量和房价表现出较低的跨国同步性。我们提出了一种基于小波的频谱包络扩展，类似于基于频率的时变主成分分析。国家载荷表明，与所有其他变量相反，德国和荷兰的家庭贷款周期和房价与常见周期呈负相关或不太强相关。