Credit and business cycles: Causal effects in the frequency domain

Gómez, José Eduardo; Villamizar‐Villegas, Mauricio; Zárate-Solano, Héctor Manuel; Amador, Juan Sebastián; Gaitán-Maldonado, Celina

doi:10.1016/j.espe.2015.05.002

Cited by 12 publications

(7 citation statements)

References 26 publications

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“…As Gomez-Gonzalez et al (2015) indicated, the spectral function of each variable is estimated, cycles are extracted by Fourier analysis and the co-movement between cycles is estimated by using the cross-spectral density function and its related measures of coherence. Breitung and Candelon (2006) explained:…”

Section: Methodsmentioning

confidence: 99%

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Does stock market capitalization cause GDP? A causality study for Central and Eastern European countries

Prats

Sandoval

2020

Economics

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This paper analyzes the relationship between stock market capitalization to GDP and real GDP in 10 Central and Eastern European countries (CEECs) that joined the European Union in 2004 and 2007, with the objective of determining whether the financial markets played a role as drivers of economic development in these countries or vice versa. The methodology, using a cointegrated Vector Autoregressive (VAR) model, is based on the application of three different measures of causality: Granger causality test, Toda-Yamamoto approach and Frequency Domain approach. The results obtained suggest evidence of a causal relationship in both directions between the variables in a significant number of countries, and especially in those where the variables show to be clearly cointegrated (Bulgaria,

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Section: Methodsmentioning

confidence: 99%

“…The complete frequency range is from zero to Π. The frequency (ω) is equal to 2Π/cycle duration (T); therefore, values of (ω) near Π correspond to short-term, whereas values of (ω) near zero correspond to long-term (Gomez-Gonzalez et al, 2015).…”

Section: Methodsmentioning

confidence: 99%

Does stock market capitalization cause GDP? A causality study for Central and Eastern European countries

Prats

Sandoval

2020

Economics

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“…Nonetheless, such procedure is widely used in the literature. For example, a relevant application for studying the relationship between real and financial business cycles can be found in Gomez-Gonzalez et al (2015). Some nonparametric testing approaches were also proposed in the literature.…”

Section: Introductionmentioning

confidence: 99%

A bootstrap test to detect prominent Granger-causalities across frequencies

Farné,

Montanari

2018

Preprint

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Granger-causality in the frequency domain is an emerging tool to analyze the causal relationship between two time series. We propose a bootstrap test on unconditional and conditional Granger-causality spectra, as well as on their difference, to catch particularly prominent causality cycles in relative terms. In particular, we consider a stochastic process derived applying independently the stationary bootstrap to the original series. Our null hypothesis is that each causality or causality difference is equal to the median across frequencies computed on that process. In this way, we are able to disambiguate causalities which depart significantly from the median one obtained ignoring the causality structure. Our test shows power one as the process tends to non-stationarity, thus being more conservative than parametric alternatives. As an example, we infer about the relationship between money stock and GDP in the Euro Area via our approach, considering inflation, unemployment and interest rates as conditioning variables. We point out that during the period 1999-2017 the money stock aggregate M1 had a significant impact on economic output at all frequencies, while the opposite relationship is significant only at high frequencies.

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“…[54] by Apostoaie and Percic, the relations between the business and credit cycles in 20 advanced and developing EU economies are examined. Gomez-Gonzalez et al [55] applied the Granger-type causality tests are carried out in the frequency domain to analyse the relationship between nancial and real business cycles for a sample of 33 countries.…”

Section: Considered Modiedmentioning

confidence: 99%

Cyclical Properties of the Credit and Production in Selected European Countries - a Comparison of Deterministic and Stochastic Cycle Approach

Lenart

Pipień

2018

Acta Phys. Pol. A

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We develop two nonparametric approaches to analyze the empirical properties of economic cycles. The rst approach is based on almost periodically correlated time series commonly used in signal processing. Within this framework we depart from standard scheme of analysis that relies on stationarity assumption. The second approach is based on spectral analysis provided the stationarity assumption of cyclical uctuations. We contribute to the existing literature in both, theoretical and empirical aspects. From theoretical viewpoint we develop methods of formal statistical inference about the main properties of elements of the economic cycle. In the rst approach the testing procedure utilizing subsampling approach is proposed. In the second approach the method of analysis of concentration of the spectral mass is developed. Based on the monthly series of the credit aggregate and the industrial production, taken from selected European countries, we discuss the empirical properties of the credit cycle and we compare them with the production cycle. Our empirical ndings show substantial diversity of the credit cycle across analysed countries. Also cyclical component in the credit series is identied much stronger than in case of the series of industrial production. Also the production cycles are much more synchronized across countries compared to the credit cycles.

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Credit and business cycles: Causal effects in the frequency domain

Cited by 12 publications

References 26 publications

Does stock market capitalization cause GDP? A causality study for Central and Eastern European countries

Does stock market capitalization cause GDP? A causality study for Central and Eastern European countries

A bootstrap test to detect prominent Granger-causalities across frequencies

Cyclical Properties of the Credit and Production in Selected European Countries - a Comparison of Deterministic and Stochastic Cycle Approach

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