Are Business and Credit Cycles Converging or Diverging? A Comparison of Poland, Hungary, the Czech Republic and the Euro Area

Abstract

The opinions expressed in this article are those of the authors and do not necessarily reflect the views of the Banque de France or the institutions with which the authors are affiliated. The authors are grateful to Julien Matheron for providing programmes and useful suggestions. They also wish to thank Iikka Korhonen and Marina Vasjukova as well as the participants of the Third Workshop on Emerging Markets (Bank of Spain, Madrid, 24-25 November 2005) for valuable comments and discussions. The standard disclaimer applies.

Economic Cycle and Credit Volume Interaction: Case of Lithuania

“…Probably the main problem is that a common idea in this field of researchers is hardly found. Valuating interaction between an economic cycle and a bank credit volume can be found in many studies using different methodologies, but the results obtained are very contradictory: one group of authors states that interaction between economic cycle and credit volume is very strong (Bikker and Hu (2002), Cappielo et al (2010), Igan et al (2009), Kress (2004), King and Levine (1999), Avouyi-Dovi et al (2006), Pojatina (2008), whereas the other group discusses about weak interaction, found in the research of Uuskula et al (2005), Gugliemo et al (2009), Berglof and Bolton (2002), or denied by Koivu (2002).…”

“…As it has been previously mentioned, the majority of this research was based on a selected group of countries data. For such evaluation countries with available appropriate statistical long-term historical data were selected: USA, EU old members, separate European regions (Bikker and Hu, 2002;Igan et al, 2009;Cappielo et al, 2010;King and Levine, 1999;Avouyi-Dovi et al, 2006;Uuskula et al, 2005;Gugliemo et al, 2009;Koivu, 2002;Berglof and Bolton, 2002;Krainer, 2001). Empirical research on separate countries credit volume and economic cycle interaction is rather rare (Kress, 2004;Pojatina, 2008;Tsouma, 2010).…”

“…In the mentioned interaction scientific research studies different models and methodologies are applied: USA National Bureau of Economic Research (NBER) applies Bry and Boschan (1971) (BB) methodology, Harding and Pagan (2003) (BBQ) methodology; parametric Markovswitching model (MS, DFMS ) applied by Tsouma (2010), Kress (2004), Zarnowitz (1992, Chauvet (2007). Mostly applied Harding and Pagan methodology, having several varieties and adopted by Avouyi-Dovi et al (2006), Tsouma (2010), according to available static data batch.…”

“…Economic cycle and credit volume interaction research methodology Kress (2004) and Avouyi-Dovi et al (2006) adopted methodologies for Lithuania case research were selected as the mostly corresponding to the research idea and needs. The research methodology consists these main stages:…”

“…1. Identification of turning points according to Avouyi-Dovi et al (2006) adopted Harding and Pagan methodology, presented in Table 1. Steps (rules) Operations 1.…”