Financial Cycle and Business Cycle Interactions in Countries with Quantitative Easing

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26220%2F18%3APU129587" target="_blank" >RIV/00216305:26220/18:PU129587 - isvavai.cz</a>

Výsledek na webu

<a href="https://mme2018.fm.vse.cz/wp-content/uploads/2018/09/MME2018-Electronic_proceedings.pdf" target="_blank" >https://mme2018.fm.vse.cz/wp-content/uploads/2018/09/MME2018-Electronic_proceedings.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Financial Cycle and Business Cycle Interactions in Countries with Quantitative Easing

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Financial Cycle and Business Cycle Interactions in Countries with Quantitative Easing

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10103 - Statistics and probability

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

36th International Conference Mathematical Methods In Economics, Conference Proceedings

ISBN

978-80-7378-371-6

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

270-275

Název nakladatele

MatfyzPress, MFF UK

Místo vydání

Jindřichův Hradec

Místo konání akce

Jindřichův Hradec

Datum konání akce

12. 9. 2018

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000507455300047