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Stylized facts of money and credit over the business cycles

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  • Tryphon Kollintzas
  • Ioanna Konstantakopoulou
  • Efthymios Tsionas

Abstract

This article investigates the stylized facts of money and credit over the business cycles in nine Organization for Economic Cooperation and Development (OECD) countries using quarterly data from 1960 to 2006, through the application of two main detrending methods. Our findings confirm the existence of substantive cyclical regularities across countries. In particular, money supply is procyclical and tends to move in advance of real output; velocity of money is procyclical; domestic credit and credit are procyclical and lag the cycle; deposits are procyclical and tend to lead the cycle; nominal interest rates are procyclical and short-term interest rates lag the cycle, while long-term interest rates lead the cycles, in the majority of countries; term spread is countercyclical and lags the cycle; prices are countercyclical; inflation is procyclical and lags the cycle and liquidity effect is confirmed in all countries.

Suggested Citation

  • Tryphon Kollintzas & Ioanna Konstantakopoulou & Efthymios Tsionas, 2011. "Stylized facts of money and credit over the business cycles," Applied Financial Economics, Taylor & Francis Journals, vol. 21(23), pages 1735-1755.
    • Handle: RePEc:taf:apfiec:v:21:y:2011:i:23:p:1735-1755
    DOI: 10.1080/09603107.2011.583215
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    References listed on IDEAS

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    1. Milton Friedman & Anna J. Schwartz, 1963. "A Monetary History of the United States, 1867–1960," NBER Books, National Bureau of Economic Research, Inc, number frie63-1.
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    Cited by:

    1. You, Kefei & Solomon, Offiong Helen, 2015. "China's outward foreign direct investment and domestic investment: An industrial level analysis," China Economic Review, Elsevier, vol. 34(C), pages 249-260.
    2. Yuri Biondi & Feng Zhou, 2019. "Interbank credit and the money manufacturing process: a systemic perspective on financial stability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 437-468, September.
    3. Caraiani, Petre, 2012. "Stylized facts of business cycles in a transition economy in time and frequency," Economic Modelling, Elsevier, vol. 29(6), pages 2163-2173.
    4. Vadim Kufenko & Niels Geiger, 2017. "Stylized Facts of the Business Cycle: Universal Phenomenon, or Institutionally Determined?," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 13(2), pages 165-187, November.
    5. Małgorzata Iwanicz-Drozdowska & Paola Bongini & Paweł Smaga & Bartosz Witkowski, 2019. "The role of banks in CESEE countries: exploring non-standard determinants of economic growth," Post-Communist Economies, Taylor & Francis Journals, vol. 31(3), pages 349-382, May.

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