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Can We Identify the Financial Cycle?

In: The Role of Central Banks in Financial Stability How Has It Changed?

Author

Listed:
  • Mathias Drehmann

    (Bank for International Settlements, Switzerland)

  • Claudio Borio

    (Bank for International Settlements, Switzerland)

  • Kostas Tsatsaronis

    (Bank for International Settlements, Switzerland)

Abstract

AbstractThe following sections are included:IntroductionData and MethodologyFrequency-based filter analysisTurning-point analysisCharacterizing Cycles in Individual SeriesFrequency-based filter analysis: Short-term and medium-term cyclesTurning-point analysis: Short-term and medium-term cyclesWhat happens around financial crises?Toward a Measure of the Financial CycleMethodology for the combination of seriesSelection of seriesResultsPolicy Context: Regime-Dependence and “Unfinished Recessions”ConclusionsReferences

Suggested Citation

  • Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2013. "Can We Identify the Financial Cycle?," World Scientific Book Chapters, in: Douglas D Evanoff & Cornelia Holthausen & George G Kaufman & Manfred Kremer (ed.), The Role of Central Banks in Financial Stability How Has It Changed?, chapter 7, pages 131-156, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789814449922_0007
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    Keywords

    Financial Stability; Financial Regulation; Macroprudential Regulation; Systemic Risk; Dodd-Frank; Financial Crisis;

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G01 - Financial Economics - - General - - - Financial Crises

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