Financial cycles across G7 economies: A view from wavelet analysis
Tài liệu tham khảo
Aguiar-Conraria, 2014, The continuous wavelet transform: Moving beyond uni- and bivariate analysis, Journal of Economic Surveys, 28, 344, 10.1111/joes.12012
Aikman, 2015, Curbing the credit cycle, The Economic Journal, 125, 1072, 10.1111/ecoj.12113
Alessi, 2009
Anguren-Martín, 2011
Borio, 2014, The financial cycle and macroeconomics: What have we learnt?, Journal of Banking & Finance, 45, 182, 10.1016/j.jbankfin.2013.07.031
Borio, 2009
Breitung, 2016, Analysing international business and financial cycles using multi-level factor models, 177
Bundesbank, 2015, Results of a wavelet analysis examining the relationship between lending to non-financial corporations and real economic activity in Germany, France, Italy and Spain, Monthly Report September, 20
Cazelles, 2008, Wavelet analysis of ecological time series, Oecologia, 32, 287, 10.1007/s00442-008-0993-2
Claessens, 2011
Croux, 2001, A measure of comovement for economic variables: Theory and empirics, The Review of Economics and Statistics, 83, 232, 10.1162/00346530151143770
Drehmann, 2012
Drehmann, 2014, Evaluating early warning indicators of banking crises: Satisfying policy requirements, International Journal of Forecasting, 30, 759, 10.1016/j.ijforecast.2013.10.002
Ferrer, 2016, Interest rate changes and stock returns: A European multi-country study with wavelets, International Review of Economics & Finance, 44, 1, 10.1016/j.iref.2016.03.001
Galati, 2016, Measuring financial cycles with a model-based filter: Empirical evidence for the United States and the euro area, Economics Letters, 145, 83, 10.1016/j.econlet.2016.05.034
Goncalves, 2004, Bootstrapping autoregressions with conditional heteroskedasticity of unknown form, Journal of Econometrics, 123, 89, 10.1016/j.jeconom.2003.10.030
Hiebert, 2018, Contrasting financial and business cycles: Stylized facts and candidate explanations, Journal of Financial Stability, 38, 72, 10.1016/j.jfs.2018.06.002
Hubrich, 2013
Kunovac, 2018
Kurowski, 2018, Are business and credit cycles synchronised internally or externally, Economic Modelling, 74, 124, 10.1016/j.econmod.2018.05.009
Mandler, 2019, Real and financial cycles in euro area economies: Results from wavelet analysis, Journal of Economics and Statistics, 239, 895
Meller, 2017, The synchronization of credit cycles, Journal of Banking & Finance, 82, 98, 10.1016/j.jbankfin.2017.05.011
Miranda-Agrippino, 2015
Rua, 2010, Measuring comovement in the time-frequency space, Journal of Macroeconomics, 32, 685, 10.1016/j.jmacro.2009.12.005
Rua, 2012, 71
Rua, 2013, Worldwide synchronization since the nineteenth century: A wavelet-based view, Applied Economics Letters, 20, 773, 10.1080/13504851.2012.744129
Rua, 2015, Cohesion within the euro area and the US: A wavelet-based view, OECD Journal: Journal of Business Cycle Measurement and Analysis, 2014/2, 1
Rünstler, 2018
Rünstler, 2018, Business, housing and credit cycles, Journal of Applied Econometrics, 33, 212, 10.1002/jae.2604
Schüler, 2015
Schüler, 2020, Financial cycles: Characterization and real-time measurement, Journal of International Money and Finance, 100, 10.1016/j.jimonfin.2019.102082
Stremmel, 2015
Strohsal, 2015
Strohsal, 2019, Assessing the cross-country interaction of financial cycles: Evidence from a multivariate spectral analysis of the US and the UK, Empirical Economics, 57, 385, 10.1007/s00181-018-1471-2
Verona, 2016, Time‐frequency characterization of the U.S. financial cycle, Economics Letters, 144, 75, 10.1016/j.econlet.2016.04.024
Voutilainen, 2017