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The Nature of Financial and Real Business Cycles: The Great Moderation and Banking Sector Pro-Cyclicality

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  • Balázs Égert
  • Douglas Sutherland

Abstract

This paper takes a fresh look at the nature of financial and real business cycles in OECD countries using annual data series and shorter quarterly and monthly economic indicators. It first analyses the main characteristics of the cycle, including the length, amplitude, asymmetry and changes of these parameters during expansions and contractions. It then studies the degree of economic and financial cycle synchronisation between OECD countries but also of economic and financial variables within a given country, and gauges the extent to which cycle synchronisation changed over time. Finally, the paper provides some new evidence on the drivers of the great moderation and analyses the banking sector’s pro-cyclicality by using aggregate and bank-level data. The main findings show that the amplitude of the real business cycle was becoming smaller during the great moderation, but asset price cycles were becoming more volatile. In part this was linked to developments in the banking sector which tended to accentuate pro-cyclical behaviour. Cycles économiques et financiers : la grande modération et la pro-cyclicalité du secteur bancaire Ce papier analyse la nature des cycles économiques et financiers dans les pays de l'OCDE en utilisant des séries annuelles, trimestrielles et mensuelles. Il analyse d'abord les principales caractéristiques du cycle, y compris la durée, l'amplitude, l'asymétrie et les changements de ces paramètres au cours des expansions et contractions. Il étudie ensuite le degré de synchronisation des cycles économiques et financiers entre les pays de l'OCDE, mais aussi des variables économiques et financières dans un pays donné, et évalue dans quelle mesure la synchronisation des cycles a changé au fil du temps. Enfin, le papier fournit quelques éléments nouveaux sur les facteurs de la grande modération et étudie la pro-cyclicité du secteur bancaire en utilisant des données agrégées et des banques individuelles. Les principaux résultats montrent que l'amplitu
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  • Balázs Égert & Douglas Sutherland, 2014. "The Nature of Financial and Real Business Cycles: The Great Moderation and Banking Sector Pro-Cyclicality," Scottish Journal of Political Economy, Scottish Economic Society, vol. 61(1), pages 98-117, February.
    • Handle: RePEc:bla:scotjp:v:61:y:2014:i:1:p:98-117
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    2. Balázs Égert & Douglas Sutherland, 2014. "The Nature of Financial and Real Business Cycles: The Great Moderation and Banking Sector Pro-Cyclicality," Scottish Journal of Political Economy, Scottish Economic Society, vol. 61(1), pages 98-117, February.
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    8. Mikhail Stolbov, 2014. "International Credit Cycles: A Regional Perspective," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 21-47.
    9. Xue, Wenjun & Zhang, Liwen, 2019. "Revisiting the asymmetric effects of bank credit on the business cycle: A panel quantile regression approach," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
    10. Malovaná Simona & Tesařová Žaneta, 2021. "What is the Sustainable Level of Banks’ Credit Losses and Provisions?," Review of Economic Perspectives, Sciendo, vol. 21(3), pages 235-258, September.
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    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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