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Empirical Properties of the Credit and Equity Cycle within Almost Periodically Correlated Stochastic Processes - the Case of Poland, UK and USA

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  • Łukasz Lenart

    (Cracow University of Economics)

  • Mateusz Pipień

    (Cracow University of Economics)

Abstract

We discuss the notion of the financial cycle making a clear indication that the thorough study of its empirical properties in case of developing economies is still missing. We focus on the observed series of credit and equity and make formal statistical inference about the properties of the cycles in case of Polish economy. The non-standard subsampling procedure and discrete spectral characteristics of almost periodically correlated time series are applied to make formal statistical inference about the cycle. We compare the results with those obtained for UK and USA. We extract the cyclical component and confront empirical properties of the financial cycle for small open economy with those established so far in case of developed economies.

Suggested Citation

  • Łukasz Lenart & Mateusz Pipień, 2015. "Empirical Properties of the Credit and Equity Cycle within Almost Periodically Correlated Stochastic Processes - the Case of Poland, UK and USA," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(3), pages 169-186, September.
    • Handle: RePEc:psc:journl:v:7:y:2015:i:3:p:169-186
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    More about this item

    Keywords

    financial cycle; business cycle; discrete spectral analysis; APC processes; subsampling approach;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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