Working Papers in full text
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
All
Other research-related activities and publications of the IMF can be found at IMF Research
|
Free Email Notification
Receive emails when we post new
items of interest to you.
Subscribe or
Modify your profile
|
|
|
|
Financial Cycles: What? How? When?
|
Author/Editor: |
Claessens, Stijn | Kose, M. Ayhan | Terrones, Marco |
| Authorized for Distribution: |
April 1, 2011 |
|
Electronic Access: |
Free Full Text (PDF file size is 1,149KB)
Use the free Adobe Acrobat Reader to view this PDF file.
|
|
|
|
Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.
|
|
Summary: This paper provides a comprehensive analysis of financial cycles using a large database covering 21 advanced countries over the period 1960:1-2007:4. Specifically, we analyze cycles in credit, house prices, and equity prices. We report three main results. First, financial cycles tend to be long and severe, especially those in housing and equity markets. Second, they are highly synchronized within countries, particularly credit and house price cycles. The extent of synchronization of financial cycles across countries is high as well, mainly for credit and equity cycles, and has been increasing over time. Third financial cycles accentuate each other and become magnified, especially during coincident downturns in credit and housing markets. Moreover, globally synchronized downturns tend to be associated with more prolonged and costly episodes, especially for credit and equity cycles. We discuss how these findings can guide future research on various aspects of financial market developments.
|
|
|
|
Order a print copy
|
|
Series: |
Working Paper No. 11/76 |
|
Subject(s): |
Business cycles | Capital markets | Credit | Demand | Developed countries | Housing prices | Stock prices |
|
Author's keyword(s): |
Credit booms; credit cycles; asset busts; crunches; house prices; equity prices. |
|
|
|
|
| |
Published: |
|
April 1, 2011 |
|
|
|
|
| |
|
|
|
|
Format: |
|
Paper |
| |
Stock No: |
|
WPIEA2011076 |
|
Pages: |
|
40 |
| |
Price: |
|
US$18.00 (Academic Rate: US$18.00 )
|
|
|
|
|
|
|
