Naslov
THE SYNCHRONISATION BETWEEN FINANCIAL AND BUSINESS CYCLES: A CROSS SPECTRAL ANALYSIS VIEW

Autori
Škare, Marinko ; Porada-Rochoń, Małgorzata

Izvornik
Technological and Economic Development of Economy (2029-4913) 26 (2020), 4; 907-919

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

Ključne riječi
financial cycles, business cycles, spectral granger causality, The UK, synchronization

Sažetak
Our study bridges the gap between in previous research on the synchronization between financial and business cycles over a long period. Using the data for the UK from 1270 to 2016 we analyze the synchronization between financial and business cycles using spectral Granger causality (Breitung & Candelon, 2006). Our paper brings several important findings to the discussion on the financial and business cycle link. Our paper is the first one (to the best of our knowledge) that use data over a long period spanning several centuries. We use spectral analysis and advanced spectral analysis (SSA) and (MSSA) to study the relationship between financial and business cycles in the long run. Paper results show financial and business cycles series moves along over the medium-term spectrum. We find a strong link between the cyclical component in the output (real GDP series) and the cyclical component in the financial series (housing price, credit).

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA