Business cycle synchronization in the EU economies after the recession of 2007-2009

Osińska, Magdalena; Kufel, Tadeusz; Błażejowski, Marcin; Kufel, Paweł

doi:10.15611/aoe.2016.2.01

Cited by 6 publications

(3 citation statements)

References 6 publications

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“…Empirical studies typically confirm that financial indicators play an important role in predicting asset price cycles (Gerdesmeier et al, 2010) that impact the real economy stance. The explanation of their considerable role may stem from the international simultaneity of business cycles (Osińska et al, 2016;Bruzda, 2015) and asset price cycles (Alessi & Detken, 2011) as well as significant co-movements of domestic financial and real business cycles (Bruzda, 2017). In particular, Alessi and Detken (2011) found that the global measures of liquidity, especially the global private credit gap, are the best indicators of asset price cycles.…”

Section: Stock Prices Money and Credit During A Business Cyclementioning

confidence: 99%

The Interconnectedness of Stock Prices, Money, and Credit Across Time and Frequency From 1970 to 2016

Ryczkowski

Zinecker

2022

Technological and Economic Development of Economy

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This article applies continuous wavelet and maximal overlap discrete wavelet transforms to study the co-movements and the direction of causality between money (M3 and M2), bank credit, credit from all sectors vs. stock price dynamics across time and frequency for 12 developed countries. The time-varying linkages were significant typically for credit rather than money developments. Particularly, these linkages appeared during phases of house and stock price boom and bust at a business cycle frequency. The discovered lead-lag patterns give relatively much time for monetary policy authorities to support their financial stability objectives by imposing restrictions on credit. Closing the channel through which credit and stock prices interact may counteract the rising financial imbalances. This finding holds also for the euro area where the monetary pillar is based on broad money. The new application of wavelets allowed discovering the varying linkages that were not necessarily evident in the standard methods of analysing data.

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Section: Stock Prices Money and Credit During A Business Cyclementioning

confidence: 99%

The Interconnectedness of Stock Prices, Money, and Credit Across Time and Frequency From 1970 to 2016

Ryczkowski

Zinecker

2022

Technological and Economic Development of Economy

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“…The Baxter-King filter (Baxter and King, 1999) and Christian-Fitzgerald filter (Christiano and Fitzgerald, 2003) are also used in literature. A broad description of these filters' usefulness for extracting trends of different bands of frequencies can be found in Osińska et al (2014) and(2016). The following article uses the Hodrick-Prescott filter.…”

Section: Crisis On the New Passenger Cars' Market In European Countriesmentioning

confidence: 99%

Covid-19 Pandemic Lockdown vs. Business Cycle Clock Registration of New Passenger Cars in European Countries

Kufel¹

2021

ERSJ

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Purpose: The aim of this article is to evaluate the impact of the lockdown caused by the Covid-19 pandemic on the economic situation measured by the number of new passenger cars registered in selected European countries. Design/Methodology/Approach: The assessment of economic changes was conducted using a business cycle clock (BCC) using the number of newly registered passenger cars. Use working day and seasonally adjusted -Car registration, a new passenger car monthly series, was estimated with a Hodrick-Prescott filter. Findings: The lockdown caused by the Covid-19 pandemic had a negative impact on the economy measured by newly registered cars. Practical Implications: The varying effects of the lockdown can be evaluated with a business cycle clock. Originality/Value: The study was based on monthly data up to October 2020 and showed the high usefulness of BCC results.

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“…Firstly, we identify the mechanism of economic growth using stationary threshold autoregression models focusing on finding the thresholds that potentially determine the growth phases. Secondly, we extend and deepen the analysis related with business cycles synchronization in the EU during the recession of the first decade of XXI century Osińska et al (2016). Thirdly, we focus on the two groups of countries: those welldeveloped and emerging after the years of following of non-market economic rules.…”

Section: Introductionmentioning

confidence: 98%

Modeling mechanism of economic growth using threshold autoregression models

et al. 2018

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We propose to apply a time series-based nonlinear mechanism in the threshold autoregression form in order to examine the possible relationship between economic growth rate and its potential determinants included debt-to-GDP indicator. Our approach employs threshold variables instead of exogenous variables and time-series data instead of panel data to reveal the economic instruments that have determined the business cycle in European countries for the last 2 decades-starting from 1995. The purpose of the study is to reveal the mechanism of growth (measured in terms of GDP growth rate and industrial production growth rate) given different macroeconomic indicators, such as public debt, rate of inflation, interest rate, and rate of unemployment with the level of growth itself serving as the threshold variables. We identify that the monetary mechanism played an important role in diagnosing the phases of business cycle in most European economies which is in line with liberal economic policy dominating in the observed period. The initial level of debt-to-GDP ratio as its increase within the recession period was of no value for the economic growth pattern.

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Business cycle synchronization in the EU economies after the recession of 2007-2009

Cited by 6 publications

References 6 publications

The Interconnectedness of Stock Prices, Money, and Credit Across Time and Frequency From 1970 to 2016

The Interconnectedness of Stock Prices, Money, and Credit Across Time and Frequency From 1970 to 2016

Covid-19 Pandemic Lockdown vs. Business Cycle Clock Registration of New Passenger Cars in European Countries

Modeling mechanism of economic growth using threshold autoregression models

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