Measuring Financial Cycle Time

Filardo, Andrew; Lombardi, Marco; Raczko, Marek

doi:10.2139/ssrn.3322618

Cited by 14 publications

(7 citation statements)

References 52 publications

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“…Our findings confirm the results from earlier papers that cover recent sample periods and that observe a financial cycle length of 15 to 20 years, where the (domestic) financial cycle is defined in terms of credit and house prices (see, e.g., Claessens et al, 2012;Borio, 2014;Rünstler and Vlekke, 2018;Lang and Welz, 2018). Our finding of time-variation in the cyclical dynamics of global financial co-movement is in line with Filardo et al (2018), who, based on a long sample period, find that the US credit cycle became more protracted during the post-War period.…”

Section: Gdp Factorsupporting

confidence: 92%

Global Financial Cycles Since 1880

Potjagailo

Wolters

2020

SSRN Journal

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We analyze cyclical co-movement in credit, house prices, equity prices, and longterm interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, we analyze the dynamics of co-movement at different levels of aggregation and compare recent developments to earlier episodes such as the early era of financial globalization from 1880 to 1913 and the Great Depression. We find that joint global dynamics across various financial quantities and prices as well as variable-specific global co-movements are important to explain fluctuations in the data. From a historical perspective, global co-movement in financial variables is not a new phenomenon, but its importance has increased for some variables since the 1980s. For equity prices, global cycles play currently a historically unprecedented role, explaining more than half of the fluctuations in the data. Global cycles in credit and housing have become much more pronounced and longer, but their importance in explaining dynamics has only increased for some economies including the US, the UK and Nordic European countries. We also include GDP in the analysis and find an increasing role for a global business cycle.

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Section: Gdp Factorsupporting

confidence: 92%

Global Financial Cycles Since 1880

Potjagailo

Wolters

2020

SSRN Journal

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“…These numbers are consistent with the relatively long length of the financial cycle reported in the literature (8 to 20 years, see e.g. Borio 2014 or Filardo et al 2018).…”

Section: Discussionsupporting

confidence: 91%

Predicting systemic financial crises with recurrent neural networks

Tölö

2020

Journal of Financial Stability

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We consider predicting systemic financial crises one to five years ahead using recurrent neural networks. The prediction performance is evaluated with the Jorda-Schularick-Taylor dataset, which includes the crisis dates and relevant macroeconomic series of 17 countries over the period 1870-2016. Previous literature has found simple neural network architectures to be useful in predicting systemic financial crises. We show that such predictions can be significantly improved by making use of recurrent neural network architectures, especially suited for dealing with time series input. The results remain robust after extensive sensitivity analysis.

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