Naslov
Multi-channel singular-spectrum analysis of financial cycles in ten developed economies for 1970–2018

Autori
Škare, Marinko ; Porada-Rochoń, Małgorzata

Izvornik
Journal of business research (0148-2963) 112 (2020); 567-575

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
financial cycles ; multi-channel singular-spectrum analysis (MSSA) ; spectrum analysis ; frequency domain ; credits

Sažetak
We isolate and analyze financial cycles for ten selected economies based on quarterly time-series data from 1970 to 2018. Our study shows that a global financial cycle lasts nine years on average with long-memory properties (no mean reversion after the shock). Most countries exhibit the same duration (8.93 years) for specific financial cycles, but some countries register longer cycles (Belgium 10.42 years, Denmark 10 years, Germany 10.42 years, and France 9.26 years). Previous financial cycle studies employed a composite index based on an average medium–term cycle, vector autoregression, turning points, and standard frequency-based filters, but could not incorporate all information derived from the data generation process. We obtain more robust and conclusive results by using multi-channel singular-spectrum analysis with the available variables to extract a financial cycle. Policymakers and finance practitioners should recognize the reality of global (and country-specific) financial cycles.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA