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Cycles réel et du crédit : convergence ou divergence ?. Une comparaison Pologne, Hongrie, République tchèque et zone euro

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  • Sanvi Avouyi-Dovi
  • Rafał Kierzenkowski
  • Catherine Lubochinsky

Abstract

This paper provides an analysis of co-movements between real and financial variables in three new eu member countries (the Czech Republic, Hungary and Poland) and the euro area. It focuses on the co-movement between real credit granted to firms and real industrial output on the one hand, and between the aforementioned variables and a monetary policy indicator (the three-month real interest rate) on the other. Given that there is no single definition for the business cycle, we take three different approaches: we identify the turning points in the series and then estimate a concordance index; we decompose and compare the cyclical components of the series; and we calculate dynamic correlations across the variables. We find a better convergence of real than financial cycles between the new eu members and the euro area. There is no a high degree of dependence between loans and industrial output in all countries; yet, monetary policy appears to smooth the distribution of credit throughout the cycles. Classification JEL : E23, E32, E44, E51, P00

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Article provided by Presses de Sciences-Po in its journal Revue économique.

Volume (Year): 57 (2006)
Issue (Month): 4 ()
Pages: 851-879

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Handle: RePEc:cai:recosp:reco_574_0851

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  1. Fidrmuc, Jarko & Korhonen, Iikka, 2004. "A meta-analysis of business cycle correlation between the euro area and CEECs: What do we know – and who cares?," BOFIT Discussion Papers 20/2004, Bank of Finland, Institute for Economies in Transition.
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  14. Sanvi Avouyi-Dovi & Julien Matheron, 2005. "Interactions between business cycles, financial cycles and monetary policy: stylised facts," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 273-98 Bank for International Settlements.
  15. Avouyi-Dovi, S. & Kierzenkowski, R. & Lubochinsky, C., 2006. "Are Business and Credit Cycles Converging or Diverging? A comparison of Poland, Hungary, the Czech Republic and the Euro Area," Working papers 144, Banque de France.
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