Cycles réel et du crédit : convergence ou divergence ?. Une comparaison Pologne, Hongrie, République tchèque et zone euro
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
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- C John McDermott & Alasdair Scott, 1999.
"Concordance in business cycles,"
Reserve Bank of New Zealand Discussion Paper Series
G99/7, Reserve Bank of New Zealand.
- Don Harding & Adrian Pagan, 2000.
"Disecting the Cycle: A Methodological Investigation,"
Econometric Society World Congress 2000 Contributed Papers
1164, Econometric Society.
- Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
- 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.
- Paul Cashin & C John McDermott & Alasdair Scott, 1999.
"The myth of co-moving commodity prices,"
Reserve Bank of New Zealand Discussion Paper Series
G99/9, Reserve Bank of New Zealand.
- Croux, Christophe & Forni, Mario & Reichlin, Lucrezia, 1999.
"A Measure of Comovement for Economic Variables: Theory and Empirics,"
CEPR Discussion Papers
2339, C.E.P.R. Discussion Papers.
- Christophe Croux & Mario Forni & Lucrezia Reichlin, 2001. "A Measure Of Comovement For Economic Variables: Theory And Empirics," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 232-241, May.
- Christophe Croux & Mario Forni & Lucrezia Reichlin, 2001. "A measure of co-movement for economic variables: theory and empirics," ULB Institutional Repository 2013/10139, ULB -- Universite Libre de Bruxelles.
- Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, June.
- Lawrence J. Christiano & Terry J. Fitzgerald, 2003.
"The Band Pass Filter,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, 05.
- Tom Doan, . "CFFILTER: RATS procedure to perform band pass filter using Christiano-Fitzgerald method," Statistical Software Components RTS00034, Boston College Department of Economics.
- Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band Pass Filter," NBER Working Papers 7257, National Bureau of Economic Research, Inc.
- Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band pass filter," Working Paper 9906, Federal Reserve Bank of Cleveland.
- Artis, Michael J & Marcellino, Massimiliano & Proietti, Tommaso, 2004.
"Characterizing the Business Cycle for Accession Countries,"
CEPR Discussion Papers
4457, C.E.P.R. Discussion Papers.
- Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Characterising the Business Cycle for Accession Countries," Econometrics 0403006, EconWPA.
- Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Characterising the Business Cycle for Accession Countries," Working Papers 261, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Donald W.K. Andrews & Christopher J. Monahan, 1990.
"An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator,"
Cowles Foundation Discussion Papers
942, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-66, July.
- Harding, Don & Pagan, Adrian, 2006. "Synchronization of cycles," Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May.
- Anca Maria Pruteanu-Podpiera, 2007.
"The role of banks in the Czech monetary policy transmission mechanism,"
The Economics of Transition,
The European Bank for Reconstruction and Development, vol. 15(2), pages 393-428, 04.
- Anca Pruteanu, 2004. "The Role of Banks in the Czech Monetary Policy Transmission Mechanism," Working Papers 2004/03, Czech National Bank, Research Department.
- Zsolt Darvas & György Szapáry, 2008.
"Business Cycle Synchronization in the Enlarged EU,"
Open Economies Review,
Springer, vol. 19(1), pages 1-19, February.
- Darvas, Zsolt & Szapáry, György, 2005. "Business Cycle Sychronization in the Enlarged EU," CEPR Discussion Papers 5179, C.E.P.R. Discussion Papers.
- Zsolt Darvas & György Szapáry, 2006. "Business Cycle Synchronization in the Enlarged EU," Working Papers 0604, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest.
- 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.
- Tomasz Lyziak, 2002. "Monetary transmission mechanism in Poland.The strenght and delays," National Bank of Poland Working Papers 26, National Bank of Poland, Economic Institute.
- 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.
When requesting a correction, please mention this item's handle: RePEc:cai:recosp:reco_574_0851. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jean-Baptiste de Vathaire)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.