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Les cycles financiers convergent-ils en zone euro? En phase oui, en amplitude non

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  • Maximilien Coussin
  • Anne-Laure Delatte

Abstract

Dans le prolongement des travaux de la Banque des règlements internationaux, l’étude du cycle financier est cruciale pour la mise en oeuvre des politiques de stabilité financière. Tout particulièrement pour le volet contracyclique de la politique macroprudentielle qui vise à le réguler. Le cas de la zone euro est particulier puisque la mise en oeuvre d’une telle politique dépend fondamentalement du degré de synchronisation des cycles financiers des pays membres. Dans cette Lettre, au moyen d’une nouvelle méthode statistique, nous montrons qu’il n’existe pas un cycle financier commun, mais plusieurs cycles financiers européens. Bien que ces cycles soient de plus en plus en phase (ils montent ou baissent partout en même temps), ils divergent d’un pays à l’autre en amplitude. Nous parvenons à dater des ruptures dans le degré de dispersion de ces cycles, et à identifier statistiquement des groupes de pays dont les cycles financiers sont proches. Cela a des implications pour la conduite de la politique macroprudentielle.

Suggested Citation

  • Maximilien Coussin & Anne-Laure Delatte, 2019. "Les cycles financiers convergent-ils en zone euro? En phase oui, en amplitude non," La Lettre du CEPII, CEPII research center, issue 403.
    • Handle: RePEc:cii:cepill:2019-403
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • G2 - Financial Economics - - Financial Institutions and Services

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