Are Business and Credit Cycles Converging or Diverging? A comparison of Poland, Hungary, the Czech Republic and the Euro Area
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.
|Date of creation:||2006|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.banque-france.fr/
More information through EDIRC
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, 2000.
"Concordance in Business Cycles,"
IMF Working Papers
00/37, International Monetary Fund.
- 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.
- Zsolt Darvas & György Szapáry, 2008.
"Business Cycle Synchronization in the Enlarged EU,"
Open Economies Review,
Springer, vol. 19(1), pages 1-19, February.
- 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.
- Darvas, Zsolt & Szapáry, György, 2005. "Business Cycle Sychronization in the Enlarged EU," CEPR Discussion Papers 5179, 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.
- 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.
- 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.
- 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.
- Lawrence J. Christiano & Terry J. Fitzgerald, 1999.
"The Band pass filter,"
9906, Federal Reserve Bank of Cleveland.
- 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.
- 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.
- 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.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:bfr:banfra:144. 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: (Michael brassart)
If references are entirely missing, you can add them using this form.