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How Do Business and Financial Cycles Interact
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In this article, the interactions between business and financial cycles using an extensive database of over 200 business and 700 financial cycles in 44 countries for the period 1960:1-2007:4.Abstract:
This paper analyzes the interactions between business and financial cycles using an extensive database of over 200 business and 700 financial cycles in 44 countries for the period 1960:1-2007:4. Our results suggest that there are strong linkages between different phases of business and financial cycles. In particular, recessions associated with financial disruption episodes, notably house price busts, tend to be longer and deeper than other recessions. Conversely, recoveries associated with rapid growth in credit and house prices tend to be stronger. These findings emphasize the importance of developments in credit and housing markets for the real economy.read more
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References
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Currency crises and monetary policy in an economy withcredit constraints
TL;DR: In this paper, the authors present a simple model of currency crises which is driven by the interplay between the credit constraints of private domestic )rms and the existence of nominal price rigidities.
A simple framework for analysing bull and bear markets
Adrian Pagan,Kirill A. Sossounov +1 more
TL;DR: In this paper, the authors define bull and bear markets and use an algorithm based on it to sort a given time series of equity prices into periods that can be designated as bull or bear markets.
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Balance Sheet Effects, Bailout Guarantees and Financial Crises
TL;DR: In this paper, the authors present a model that accounts for the stylized facts of the twin currency and banking crisis, which is simultaneously subject to two distortions typical of international credit markets: bailout guarantees and the imperfect enforceability of contracts.
Journal ArticleDOI
What Happens During Recessions, Crunches, and Busts?
TL;DR: In this article, the authors provide a comprehensive empirical characterization of the linkages between key macroeconomic and financial variables around business and financial cycles for 21 OECD countries over the period 1960-2007, and find evidence that recessions associated with credit crunches and house price busts tend to be deeper and longer than other recessions.
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Chapter 1 Business cycle fluctuations in us macroeconomic time series
James H. Stock,Mark W. Watson +1 more
TL;DR: This article examined the empirical relationship in the postwar United States between the aggregate business cycle and various aspects of the macroeconomy, such as production, interest rates, prices, productivity, sectoral employment, investment, income, and consumption.