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Estimation of Aggregate and Segment-specific Financial Cycles for a Global Sample of Countries

Author

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  • Amat Adarov

    (The Vienna Institute for International Economic Studies, wiiw)

Abstract

The paper reports estimation results and technical details on the estimation of financial cycles for a global sample of 34 advanced and developing countries over the period 1960Q1–2015Q4, as well as introduces a database of financial cycles. We estimate several versions of financial cycles for credit, housing, bond and equity markets as well as aggregate financial cycles for each country in the sample. To this end we use stationary and non-stationary dynamic factor models and state-space techniques to extract financial cycles as a common factor from a large number of variables conveying price, quantity and risk characteristics of financial markets.

Suggested Citation

  • Amat Adarov, 2018. "Estimation of Aggregate and Segment-specific Financial Cycles for a Global Sample of Countries," wiiw Statistical Reports 7, The Vienna Institute for International Economic Studies, wiiw.
    • Handle: RePEc:wii:spaper:statr:7
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    References listed on IDEAS

    as
    1. Amat Adarov, 2022. "Financial cycles around the world," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3163-3201, July.
    2. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
    3. Amat Adarov, 2017. "Financial Cycles in Credit, Housing and Capital Markets: Evidence from Systemic Economies," wiiw Working Papers 140, The Vienna Institute for International Economic Studies, wiiw.
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    Cited by:

    1. Amat Adarov, 2022. "Financial cycles around the world," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3163-3201, July.
    2. Amat Adarov, 2019. "Dynamic Interactions Between Financial and Macroeconomic Imbalances: A Panel VAR Analysis," wiiw Working Papers 162, The Vienna Institute for International Economic Studies, wiiw.

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    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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