Testing for causality between credit and real business cycles in the frequency domain: an illustration

Gómez-González, José Eduardo; Ojeda-Joya, Jair N.; Zárate-Solano, Héctor Manuel; Tenjo-Galarza, Fernando

doi:10.1080/13504851.2014.884689

Cited by 17 publications

(11 citation statements)

References 4 publications

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“…In all countries (except Korea), the maximum cross-correlation lies at the negative side of the domain, suggesting a positive relationship between lags in credit and output cycles. This result corroborates the …ndings obtained by Gómez-González et al (2014) and Schularick and Taylor (2012). The fact that credit lags are strongly and positively associated with contemporaneous GDP constitutes an empirical support of Minsky's work, in the sense that the real economy requires …nancial leverage to function properly.…”

Section: Characterizing Cycles In the Frequency Domainsupporting

confidence: 88%

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Credit and business cycles : an empirical analysis in the frequency domain

Amador-Torres¹,

Gaitán-Maldonado²,

Gómez-González³

et al. 2014

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The history of economic recessions has shown that every deep downturn has been accompanied by disruptions in the …nancial sector. Paradoxically, up until the …nancial world crisis of 2007-2009, little attention was given to macroeconomic and …nancial interdependence. And, in spite of a renewed interest on the matter, signi…cant e¤ort is still warranted in order to attain a comprehensive understanding of the causal links between the …nancial sector and the rest of the economy. In this paper we study the relationship between …nancial and real business cycles for a sample of thirtythree countries in the frequency domain. Speci…cally, we characterize the interdependence of credit and output cycles and conduct Granger-type causality tests in the frequency domain. We also perform cluster analysis to analyze groups of countries with similar cyclical dynamics. Our main …ndings indicate that: (i) on average, credit cycles are larger and longer-lasting than output cycles, (ii) the likelihood of cycle interdependence is highest when considering medium-term frequencies (we …nd that that Granger causality runs in both directions), and (iii) emerging markets tend to have cycles of shorter duration but are more profound than those exhibited in developed economies.JEL Classi…cation: E32, E44, C38

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Section: Characterizing Cycles In the Frequency Domainsupporting

confidence: 88%

“…To our knowledge, the only paper that has studied cycles in the frequency domain is Gómez-González et al (2014). However, our investigation di¤ers from their work in key methodological aspects as well as on a more ample country sample size (constituting a more detailed cross-country analysis).…”

Section: Introductionmentioning

confidence: 97%

Credit and business cycles : an empirical analysis in the frequency domain

Amador-Torres¹,

Gaitán-Maldonado²,

Gómez-González³

et al. 2014

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“…In this paper we extend the work of Gomez-Gonzalez, Ojeda-Joya, Zárate, and Tenjo-Galarza (2014) to study the relationship between financial and output cycles for thirty-three countries in the frequency domain. Our sample includes both developed and emerging market economies which allow us to make several benchmark comparisons.…”

Section: Introductionmentioning

confidence: 94%

Credit and business cycles: Causal effects in the frequency domain

Gómez¹,

Villamizar‐Villegas²,

Zárate-Solano³

et al. 2015

Ensayos sobre Política Económica

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The history of economic recessions has shown that every deep downturn has been accompanied by disruptions in the financial sector. Paradoxically, up until the financial world crisis of 2007-2009, little attention was given to macroeconomic and financial interdependence. In this paper, a study is conducted on the relationship between financial and real business cycles for a sample of thirty-three countries in the frequency domain. Specifically, the features of the interdependence of credit and output cycles are analysed and Granger-type causality tests are carried out in the frequency domain. The main findings of the study indicate that the likelihood of cycle interdependence is highest when considering medium and long-term frequencies, and that Granger causality runs in both directions.

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“…Nesse sentido, o artigo contribui ao utilizar uma metodologia de teste para o domínio da frequência, mas que é estimada integralmente a partir de modelos tradicionais de vetores autorregressivos, sendo, para o nosso conhecimento, a primeira aplicação deste tipo de procedimento para a análise da relação causal entre sistema fi nanceiro e crescimento econômico para o caso brasileiro. Na literatura internacional, poucos trabalhos utilizaram tal metodologia até então (Ramirez, 2013;Gómez-González et al, 2014;Stolbov, 2015), mas ainda sem aplicações para o Brasil.…”

Section: Evidências Empíricas Para O Brasilunclassified

“…Existe uma tradição nesta literatura quanto à aplicação de testes de causalidade de Granger. No presente contexto, evidências de precedência temporal de variáveis fi nanceiras abrem novas possibilidades para o desenho de políticas voltadas para a melhoria no funcionamento destas instituições, com vistas a infl uenciar o ritmo de crescimento da economia. O procedimento no domínio da frequência permite um melhor entendimento da dinâmica envolvida nesta causalidade e, em artigos recentes, vem sendo empregado para séries econômicas de outros países (Ramirez, 2013;Gómez-González et al, 2014;Stolbov, 2015), mas não ainda para o Brasil.…”

Section: Introductionunclassified

Novas evidências de causalidade entre sistema financeiro e crescimento econômico no Brasil usando séries de tempo no domínio da frequência

Rocha

Souza

2018

Nova econ.

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Resumo: Este trabalho tem como objetivo apresentar testes de causalidade entre sistema financeiro e crescimento econômico no domínio da frequência, para séries temporais brasileiras. Esta abordagem permite não-linearidades associadas a mudanças de direção na causalidade do curto para o longo prazo. Para avaliar esta relação no Brasil, o artigo emprega séries temporais para o PIB per capita e de crédito bancário entre 1960 e 2010. Os resultados mostram variação nos testes de causalidade dependendo da frequência dos ciclos considerados, havendo evidências de que o sistema financeiro seja um fator causal para o crescimento econômico no Brasil, mas apenas no longo prazo.

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Testing for causality between credit and real business cycles in the frequency domain: an illustration

Cited by 17 publications

References 4 publications

Credit and business cycles : an empirical analysis in the frequency domain

Credit and business cycles : an empirical analysis in the frequency domain

Credit and business cycles: Causal effects in the frequency domain

Novas evidências de causalidade entre sistema financeiro e crescimento econômico no Brasil usando séries de tempo no domínio da frequência

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