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Time-frequency characterization of the U.S. financial cycle

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  • Verona, Fabio

Abstract

Despite an increase in research – motivated by the global financial crisis of 2007-08 – empirical studies on the financial cycle are rare compared to those on the business cycle. This paper adds some new evidence to this scarce literature by using a different empirical methodology – wavelet analysis – to extract financial cycles from the data. Our results confirm that the U.S. financial cycle is (much) longer than the business cycle, but we do not find strong evidence supporting the view that the financial cycle has lengthened during the Great Moderation period.

Suggested Citation

  • Verona, Fabio, 2016. "Time-frequency characterization of the U.S. financial cycle," Bank of Finland Research Discussion Papers 14/2016, Bank of Finland.
    • Handle: RePEc:zbw:bofrdp:rdp2016_014
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    More about this item

    JEL classification:

    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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