Financial Cycles and Bankruptcies in the Nordic Countries
AbstractThis paper studies the relationship between macroeconomic imbalances and bankruptcies in the Nordic countries. Finland, Sweden, Norway and Denmark liberalised their financial markets during the 1980s and experienced the consecutive emergence of a financial cycle, followed by severe banking crises. Cointegration analysis and Granger causality tests suggest that the joint path of credit, house prices and possibly investment in construction relative to GDP creates macroeconomic imbalances and has high predictive power for bankruptcies. House prices appear to be most important. Several empirical results appear to be similar for Sweden, Finland and Norway, while patterns for Denmark often differ. The estimations indicate that macroeconomic imbalances were small at the end of 2001 in all four countries.
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Bibliographic InfoPaper provided by Sveriges Riksbank (Central Bank of Sweden) in its series Working Paper Series with number 149.
Length: 36 pages
Date of creation: 01 Aug 2003
Date of revision:
Macroeconomic imbalances; financial distress; VAR model; cointegration;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-08-17 (All new papers)
- NEP-EEC-2003-08-17 (European Economics)
- NEP-ENT-2003-08-17 (Entrepreneurship)
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