Detail publikace

Financial Cycle and Business Cycle Interactions in Countries with Quantitative Easing

Originální název

Financial Cycle and Business Cycle Interactions in Countries with Quantitative Easing

Anglický název

Financial Cycle and Business Cycle Interactions in Countries with Quantitative Easing

Jazyk

en

Originální abstrakt

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.

Anglický abstrakt

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.

Dokumenty

BibTex


@inproceedings{BUT150979,
  author="Zuzana {Kučerová} and Jitka {Poměnková} and Eva {Klejmová}",
  title="Financial Cycle and Business Cycle Interactions in Countries with Quantitative Easing",
  annote="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.",
  address="MatfyzPress, MFF UK",
  booktitle="36th International Conference Mathematical Methods In Economics, Conference
Proceedings",
  chapter="150979",
  howpublished="print",
  institution="MatfyzPress, MFF UK",
  year="2018",
  month="september",
  pages="270--275",
  publisher="MatfyzPress, MFF UK",
  type="conference paper"
}