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Global Financial Cycles Since 1880

Author : Galina Potjagailo

Publisher :

Page : 0 pages

File Size : 32,78 MB

Release : 2020

Category : Credit

ISBN :

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Book Description

"With the aim to provide a detailed understanding of global financial cycles and their relevance over time, the authors analyse co-movement in credit, house prices, equity prices, and interest rates across 17 advanced economies over 130 years. Using a time-varying dynamic factor model, they observe global co-movement across financial variables as well as variable-specific global cycles of different lengths and amplitudes. Global cycles have gained relevance over time. For equity prices, they now constitute the main driver of fluctuations in most countries. Global cycles in credit and housing have become much more pronounced and protracted since the 1980s, but their relevance increased for a sub-group of financially open and developed economies only. Panel regressions indicate that a country's susceptibility to global financial cycles tends to increase with financial openness and financial integration, the extent of mortgage-related lending, and the efficiency of stock markets. Understanding the cross-country heterogeneity in financial market characteristics therefore matters for the design of appropriate financial stabilization policies across countries and sectors."--Abstract



UK Business and Financial Cycles Since 1660

Author : Nicholas Dimsdale

Publisher : Springer Nature

Page : 242 pages

File Size : 18,7 MB

Release : 2019-11-02

Category : Business & Economics

ISBN : 3030263460

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Book Description

This book is the first of two volumes that aim to provide an up-to-date overview of the key data and techniques necessary for analysing the historical behaviour of business and financial cycles in the United Kingdom. Drawing on an extensive secondary literature and the considerable body of historical macroeconomic and financial time series data that exist for the United Kingdom, the two volumes will review the key features of historical recessions and recoveries over the course of three and a half centuries. Volume 1 provides an overview of UK business cycles since 1660. The first part of the book considers old and new theories of the business cycle, looking at the impulses that generate business cycles and the propagation mechanisms that determine their duration and amplitude. The second part of the book uses the latest historical estimates of GDP to look at different ways of measuring and estimating business cycle fluctuations within a simple univariate framework. Finally, the book provides a narrative of UK economic fluctuations since 1660 using a whole range of economic data to shed light on the main drivers of cyclical behaviour. It concludes by highlighting areas for future research especially with regard to the link between business and financial cycles, some of which will be explored in Volume 2.



Global Business and Financial Cycles

Author : Julien Acalin

Publisher :

Page : 36 pages

File Size : 27,29 MB

Release : 2020

Category : Autoregression (Statistics)

ISBN :

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Book Description

Using a new equity price-based measure of the global financial cycle, this paper evaluates the relative importance of global financial shocks for quarterly equity returns and output growths in a large sample of advanced and emerging economies, as well as in South Korea and China -- two countries on different sides of the trilemma triangle of international finance. We document that global financial shocks in both China and South Korea explain a substantial share of equity return variability (20 and 50 percent of total variance, respectively), but a much smaller portion of real output fluctuations (less than 10 percent in Korea and negligible in the case of China). We also find that the combination of a closer capital account and a more rigid exchange rate regime, as in China, is associated with some costs in terms of diversification opportunities quantified by very large exposures to domestic financial and real shocks, dwarfing the contribution of any other shock in the model. More surprisingly, the combination of a relatively open capital account and a flexible exchange rate, as in South Korea, not only is associated with a higher exposure to the global financial cycle than in China but also with a significant incidence of domestic financial shocks on output fluctuations.





Global Financial Cycles and Macroeconomic Linkages

Author : Saroj Dhital

Publisher :

Page : 48 pages

File Size : 21,92 MB

Release : 2019

Category :

ISBN :

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Book Description

Failure to sufficiently model financial variables and a possible time-varying relationship between the financial and macroeconomic sectors have been identified as two major shortcomings of the most prominent macroeconomic models. To this end, I examine time-varying linkages between the financial and macroeconomic sectors across countries. I examine the existence of global financial cycles and study if the financial sector is an important source of shocks for the global macroeconomic sector. I find evidence of quantitatively significant global cycles in credit and equity price. The cycles are stronger in the years leading up to and following the crisis. Global house-price cycle is mostly driven by idiosyncratic components before 2000, however, the house-price cycle is significant after the turn of the century. I do not find quantitatively significant joint global cycle encompassing all financial variables. I then study time-varying contribution of the global financial shocks as well as financial shocks originating in the US, the UK and Germany. I find evidence of time variation in the size and the transmission of the financial shocks, especially the equity-price and house-price shocks. I find evidence of increase in both the transmission and the size of the shocks during various financial crises, especially during the recent financial crisis. The contribution of the global and the US house-price shocks increase significantly during the recent financial crisis. The combination of increase in the size and the transmission of the house-price shocks in unprecedented. The model can explain the large degree of heterogeneity in the effect of a financial shock across countries.



The Global Financial Cycle

Author : Silvia Miranda-Agrippino

Publisher :

Page : 54 pages

File Size : 36,31 MB

Release : 2021

Category : Capital movements

ISBN :

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Book Description

We review the literature on the empirical characteristics of the global financial cycle and associated stylized facts on international capital flows, asset prices, risk aversion and liquidity in the financial system. We analyse the co-movements of global factors in asset prices and capital flows with commodity prices, international trade and world output as well as the sensitivity of different parts of the world to the Global Financial Cycle. We present evidence of the causal effects of the monetary policies of the US Federal Reserve, the European Central Bank and of the People's Bank of China on the Global Financial Cycle. We then assess whether the 2008 financial crisis has altered the transmission channels of monetary policies on the Global Financial Cycle. Finally, we discuss the theoretical modelling of the Global Financial Cycle and avenues for future research.



Financial Cycles

Author : Dimitris N. Chorafas

Publisher : Palgrave Macmillan

Page : 0 pages

File Size : 16,38 MB

Release : 2015-03-12

Category : Business & Economics

ISBN : 9781137497970

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Book Description

As financial positions expand, the economy becomes more vulnerable to adverse and unexpected developments taking place outside the six to seven year business cycle. Over 50 years ago Nikolai Kondratieff developed the theory of "The Long Waves in Economic Life", which incorporated an extended cycle of innovation and upward thrust, and changed our understanding of business cycles in financial settings. Financial Cycles concentrates on two areas that have thus far been omitted from mainstream economics. The first is the impact of the longer term financial cycle; the second is the beginning of de-globalization as the world enters an era of iron-glad economic blocks. Chorafas argues that to overcome the more narrow limits of the business cycle, we need to go beyond its traditional six to seven year focus and address the longer term. This includes the building-up and running-off of economic risks characterizing the financial cycle, as well as the appreciation of forces underwriting both its growth and its decay. An ever-increasing public debt and the behavior of the banking industry are two principal reasons why the structure of analysis characterizing the previous financial cycle no longer fits present-day realities. A new methodology starts getting in shape, even if it still has to acquire political legitimacy.



Development Centre Studies The Making of Global Finance 1880-1913

Author : Flandreau Marc

Publisher : Development Centre of the Organisation for Economic Co-operation and Development

Page : 158 pages

File Size : 23,27 MB

Release : 2004-05-07

Category : Business & Economics

ISBN :

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Book Description

This book traces the roots of global financial integration in the first “modern” era of globalisation from 1880 to 1913. It analyses the direction, destinations and origins of international financial flows in order to determine the domestic policy choices that either attracted or deterred such flows to developing countries. The book deposes the idea that the gold standard and other institutional arrangements were the key to attracting foreign investment, pointing to the stability and probity of political systems as much more important. One of the major conclusions is that the successful management of international financial integration depends primarily on broad institutional and political factors, as well as on financial policies, rather than simply opening or closing individual economies to the international winds. The Making of Global Finance: 1880-1913 can serve as a valuable tool to current-day policy dilemmas by using historical data to see which policies in the past led to enhanced international financing for development. It also includes historical data that will interest all scholars of economics and economic history, as well as the casual reader.



Financial Cycles and the Real Economy

Author : Ewald Nowotny

Publisher :

Page : 0 pages

File Size : 29,33 MB

Release : 2014

Category : Business cycles

ISBN : 9781783477623

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Book Description

What is the link between the financial cycle - financial booms, followed by busts - and the real economy? What is the direction of this link and how salient is this connection? This unique book examines these fundamental questions and offers a paramount contribution to the debate surrounding the recent financial and economic crisis. With contributions from eminent academics and policy makers, this multi-disciplinary collection ascertains the policy challenges perpetuated by financial cycles in the real economy. Prominent macroeconomic models are challenged as experts question the nexus between financial deepening and growth, and assess the contribution of real estate bubbles to financial crises. Focusing on Europe, and in particular on Central, Eastern and South-Eastern Europe, the collection provides country-specific accounts, suggesting policy initiatives for dealing with financial cycles. The book concludes that financial cycles are leading indicators for financial crises and calls for economists to integrate financial factors into macroeconomic modelling. The multi-faceted nature of this book will be invaluable to researchers and students interested in the post financial crisis debate. Policy makers and practitioners will find the expert insight into lessons learned in Europe in the wake of the financial crisis and the proposal for dynamic policy initiatives to be invaluable.



Financial Crises Explanations, Types, and Implications

Author : Mr.Stijn Claessens

Publisher : International Monetary Fund

Page : 66 pages

File Size : 16,89 MB

Release : 2013-01-30

Category : Business & Economics

ISBN : 1475561008

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Book Description

This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.