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Extracting and Measuring Periodicities of Credit and Housing Cycles: Evidence from Eight Economies

Author

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  • Victor Pontines

    (South East Asian Central Banks (SEACEN) Research and Training Centre)

Abstract

This paper employs the Empirical Mode Decomposition technique to extract the credit and housing cycles in the four emerging East Asian economies of Hong Kong, Korea, Malaysia and Thailand, and these are compared to four advanced economies of Germany, Japan, United Kingdom and the United States. Based on a Lomb-Scargle periodogram analysis, the study finds that, with the exception of the credit cycle in Korea, the periodicities of the credit and housing cycles of the East Asian emerging economies are either close to or below the stylized cut-off of eight years. On the other hand, the credit and housing cycles of the four advanced economies have periodicities that are longer than eight years, in line with recent evidence.

Suggested Citation

  • Victor Pontines, 2017. "Extracting and Measuring Periodicities of Credit and Housing Cycles: Evidence from Eight Economies," Working Papers wp28, South East Asian Central Banks (SEACEN) Research and Training Centre.
    • Handle: RePEc:sea:wpaper:wp28
    as

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    File URL: https://www.seacen.org/publications/RePEc/702002-100431-PDF.pdf
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    References listed on IDEAS

    as
    1. Funke, Michael & Paetz, Michael, 2013. "Housing prices and the business cycle: An empirical application to Hong Kong," Journal of Housing Economics, Elsevier, vol. 22(1), pages 62-76.
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    4. Galati, Gabriele & Hindrayanto, Irma & Koopman, Siem Jan & Vlekke, Marente, 2016. "Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area," Economics Letters, Elsevier, vol. 145(C), pages 83-87.
    5. Moritz Schularick & Alan M. Taylor, 2012. "Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870-2008," American Economic Review, American Economic Association, vol. 102(2), pages 1029-1061, April.
    6. Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2012. "Characterising the financial cycle: don't lose sight of the medium term!," BIS Working Papers 380, Bank for International Settlements.
    7. repec:zbw:bofrdp:2009_032 is not listed on IDEAS
    8. Kožić, Ivan & Sever, Ivan, 2014. "Measuring business cycles: Empirical Mode Decomposition of economic time series," Economics Letters, Elsevier, vol. 123(3), pages 287-290.
    9. Borio, Claudio, 2014. "The financial cycle and macroeconomics: What have we learnt?," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 182-198.
    10. Michael D. Bordo & Olivier Jeanne, 2002. "Boom-Busts in Asset Prices, Economic Instability, and Monetary Policy," NBER Working Papers 8966, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Siklos, Pierre L., 2021. "The macroeconomic response to real and financial factors, commodity prices, and monetary policy: International evidence," Economic Systems, Elsevier, vol. 45(1).

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    More about this item

    Keywords

    Credit Cycle; Financial Cycle; Empirical Mode Decomposition; Period of the Cycle;
    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

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