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2015-04-14Diskussionspapier DOI: 10.18452/4578
Characterizing the Financial Cycle
dc.contributor.authorStrohsal, Till
dc.contributor.authorProaño, Christian R.
dc.contributor.authorWolters, Jürgen
dc.date.accessioned2017-06-16T01:14:22Z
dc.date.available2017-06-16T01:14:22Z
dc.date.created2015-06-18
dc.date.issued2015-04-14
dc.date.submitted2015-04-14
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5230
dc.description.abstractA growing body of literature argues that the financial cycle is considerably longer in duration and larger in amplitude than the business cycle and that its distinguishing features became more pronounced over time. This paper proposes an empirical approach suitable to test these hypothe- ses. We parametrically estimate the whole spectrum of financial and real variables to obtain a complete picture of their cyclical properties. We provide strong statistical evidence for the US and slightly weaker evidence for the UK validating the hypothesized features of the financial cycle. In Germany, however, the financial cycle is, if at all, much less visible.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectBusiness Cycleeng
dc.subjectFinancial Cycleeng
dc.subjectIndirect Spectrum Estimationeng
dc.subjectBootstrapping Inferenceeng
dc.subject.ddc310 Sammlungen allgemeiner Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleCharacterizing the Financial Cycle
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100230901
dc.identifier.doihttp://dx.doi.org/10.18452/4578
local.edoc.pages29
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2015
dc.title.subtitleEvidence from a Frequency Domain Analysis
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2015,21

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