Publication detail

Financial Cycle and Business Cycle Interactions in Countries with Quantitative Easing

KUČEROVÁ, Z. POMĚNKOVÁ, J. KLEJMOVÁ, E.

Original Title

Financial Cycle and Business Cycle Interactions in Countries with Quantitative Easing

Type

conference paper

Language

English

Original Abstract

Generally, financial crises lead to large macroeconomic disturbances in the world economy. However, several central banks adopted the unconventional monetary policies after the financial crisis of 2007 (quantitative easing, negative interest rates, forex interventions, etc.). In our paper, we focus on the interrelationship between the financial and the macroeconomic sector, i.e. the financial and business cycles, of the selected countries with the regime of quantitative easing (i.e. the euro area, Japan, the United Kingdom and the United States) to find whether these economies face the same co-movement of financial and business cycles. As such, the aim of the paper is to examine the mutual co-movement between the credit supply growth and real GDP growth for each of the selected countries. For this assessment, we use the wavelet power cross-spectrum to estimate spectral features of co-moved time series as a function of time. The significant co-moved part is identified via testing. In this way, we identify regions with periodicities of co-movement that evolved over time with the most extensive co-movoment of financial and business cycles in the US economy and the least extensive co-movement in the euro area economy.

Keywords

Wavelet co-spectrum, comovement, bank loans, credit standards

Authors

KUČEROVÁ, Z.; POMĚNKOVÁ, J.; KLEJMOVÁ, E.

Released

12. 9. 2018

Publisher

MatfyzPress, MFF UK

Location

Jindřichův Hradec

ISBN

978-80-7378-371-6

Book

36th International Conference Mathematical Methods In Economics, Conference Proceedings

Pages from

270

Pages to

275

Pages count

6

URL

BibTex

@inproceedings{BUT150979,
  author="Zuzana {Kučerová} and Jitka {Poměnková} and Eva {Klejmová}",
  title="Financial Cycle and Business Cycle Interactions in Countries with Quantitative Easing",
  booktitle="36th International Conference Mathematical Methods In Economics, Conference
Proceedings",
  year="2018",
  pages="270--275",
  publisher="MatfyzPress, MFF UK",
  address="Jindřichův Hradec",
  isbn="978-80-7378-371-6",
  url="https://mme2018.fm.vse.cz/wp-content/uploads/2018/09/MME2018-Electronic_proceedings.pdf"
}