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Identifying the Financial Cycle in Slovakia

Author

Listed:
  • Patrik Kupkovic

    () (Narodna banka Slovenska, Bratislava, Slovakia)

  • Martin Suster

    () (Narodna banka Slovenska, Bratislava, Slovakia)

Abstract

The concept of a financial cycle has become a matter of immediate concern for central bankers. The aim of this paper is to construct an aggregate indicator of the financial cycle from input indicators such as credit growth, house prices, debt burden, credit standards, interest rate spreads, and current account deficit-to-GDP ratio. We contribute to the literature with additional evidence on the financial cycle for small open economies with shallow financial markets. Expansionary and contractionary periods of a financial cycle identified by the indicator can be a valuable source of information for policy makers.

Suggested Citation

  • Patrik Kupkovic & Martin Suster, 2020. "Identifying the Financial Cycle in Slovakia," Working and Discussion Papers WP 2/2020, Research Department, National Bank of Slovakia.
  • Handle: RePEc:svk:wpaper:1070
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    financial cycle; credit growth; house prices; small open economy;
    All these keywords.

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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