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Is the financial cycle a leading indicator of real output during expansions and contractions? A quantile analysis for Greece

Author

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  • Costas Karfakis

    (Department of Economics, University of Macedonia)

  • Eftychia Karfaki

    (Department of Economics, University of Macedonia)

Abstract

This paper examines the relationship between the financial cycle and real output in Greece. The quantile analysis indicates that the financial cycle is a leading indicator of real output in the upper and lower tails of its conditional distribution, given the presence of other explanatory variables. In addition, in the lower quantile, the real output is driven by changes in perceptions about the performance of the Greek economy. Thus, a rise in the financial cycle along with positive expectations of the private sector about the future prospects of the real economy seems to represent the main driving forces of the Greek economy out of the current depression.

Suggested Citation

  • Costas Karfakis & Eftychia Karfaki, 2018. "Is the financial cycle a leading indicator of real output during expansions and contractions? A quantile analysis for Greece," Discussion Paper Series 2018_02, Department of Economics, University of Macedonia, revised Feb 2018.
    • Handle: RePEc:mcd:mcddps:2018_02
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    References listed on IDEAS

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    Cited by:

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    2. Santander Quino, Camila Miriam, 2022. "Ciclos económicos y financieros: Una aproximación empírica para Bolivia," Documentos de trabajo 1/2022, Instituto de Investigaciones Socio-Económicas (IISEC), Universidad Católica Boliviana.

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    More about this item

    Keywords

    Financial cycle; real output; quantile analysis; Granger causality test.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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