Contrasting financial and business cycles: Stylized facts and candidate explanations

Hiebert, Paul; Jaccard, Ivan; Schüler, Yves S.

doi:10.1016/j.jfs.2018.06.002

Cited by 49 publications

(29 citation statements)

References 32 publications

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“…Consistent with the results of other studies (e.g. Claessens et al, 2011;Drehmann et al, 2012;Borio, 2014b;Aikman et al, 2018;Hiebert et al, 2018), we find in Fig. 8 that the financial cycle has a lower frequency than the traditional business cycle, and that the amplitude of the financial cycle is larger than that of the business cycle.…”

Section: Does the South African Financial Cycle Differ From The Businsupporting

confidence: 93%

Measuring the Financial Cycle in South Africa

Farrell

Kemp

2020

South African J Economics

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We measure the financial cycle of South Africa using three different methodologies. The financial cycle is identified using credit, house prices and equity prices as indicators, and estimated using traditional turning-point analysis, frequency-based filters and an unobserved components modelbased approach. We then consider the financial cycle's main characteristics and examine its relationships with the business cycle. We confirm the presence of a financial cycle in South Africa that has a longer duration and a larger amplitude than the traditional business cycle. Developments in measures of credit and house prices are important indicators of the financial cycle, although the case for including equity prices in the measures is less certain. Periods where financial conditions are stressed are associated with peaks in the financial cycle, suggesting that the estimated financial cycle may have similar leading indicator properties to financial conditions or stress indices. JEL Classification: E44, E61, G21

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Section: Does the South African Financial Cycle Differ From The Businsupporting

confidence: 93%

Measuring the Financial Cycle in South Africa

Farrell

Kemp

2020

South African J Economics

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“…Contrary to Hiebert et al . (), we find that, on average, financial cycle contractions last longer than expansions. We further show that deleveraging is not the same for every financial cycle period in South Africa.…”

Section: Introductionmentioning

confidence: 58%

The South African Financial Cycle and its Relation to Household Deleveraging

Bosch

Koch

2020

South African J Economics

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This paper considers the extent to which South African households have deleveraged, since the global financial crisis of 2007/2008. We extend the official South African Reserve Bank business cycle methodology to date financial cycles, from which we identify the peaks and troughs of the South African financial cycle going back to 1966. Our composite financial cycle index peaks in April 1974, January 1984 and May 2007; it has bottomed out in July 1979 and February 1999. Thus, we still await the trough. We further compare and contrast the deleveraging process in the current downward phase to the experiences from previous financial cycles. We find that the average period of the financial cycle in South Africa is much longer (approximately 17.3 years) than that of the business cycle (approximately 5.8 years), and that deleveraging has not yet matched the degree of deleveraging seen in previous downward phases. Our results suggest that further deleveraging is necessary, before we can expect to turn the financial corner.

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“…Частота ω пробегает значения от 0 до 0,1 с шагом 0,0001. Для каждого значения ω определяется коэффициент детерминации регрессии (8). Наименьший максимум, имеющий наибольшее значение коэффициента детерминации, -это главная, трендовая частота.…”

Section: использование фрактальных характеристик для прогнозирования unclassified

“…Важно отметить, что универсальная математическая модель ценовой динамики рыночных активов пока не найдена. Например, исследования, проведенные в рамках Европейского центрального банка в 2014 г. на базе анализа данных развитых экономик стран Евросоюза, направлены на поиск теоретической модели, объясняющей наблюдаемые явления рыночных отношений [8]. В свою очередь, использовать рассматриваемый подход в целях прогнозирования процессов развивающихся рынков не представляется возможным.…”

Section: Introductionunclassified

Fractal Asset Pricing Models for Financial Risk Management

Ярыгина

Гисин

Putko

2019

jour

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The article presents the analysis findings of the problems and prospects of using the fractal markets theory to mathematically predict the price dynamics of assets as part of a financial risk management strategy. The aim of the article is to find out the features of value of bank assets and to develop recommendations for assessing financial risks based on mathematical methods for forecasting economic processes. Theoretical and empirical research methods were used to achieve the aim. The article reveals the features of mathematical modeling of economic processes related to asset pricing in a volatile market. It was proved that using financial mathematics in banking contributes to the stable development of the economy. Mathematical modeling of the price dynamics of financial assets is based on a substantive hypothesis and supported by an adequate apparatus of fractal pair pricing models in order to reveal specific market relations of business entities. According to the authors, the prospects of using forecast models to minimize the financial risks of derivative financial instruments are positive. The authors concluded that the considered methods contribute to managing financial risks and improving forecasts, including operations with derivatives. Besides, the studied fractal volatility parameters proved the predictive power regarding extreme events in financial markets, such as the bankruptcy of Lehman Brothers investment bank in 2008. The relevance of the article is due to the fact that the favorable investment climate and the use of modern financing methods largely depend on the effective financial risk management.

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Contrasting financial and business cycles: Stylized facts and candidate explanations

Cited by 49 publications

References 32 publications

Measuring the Financial Cycle in South Africa

Measuring the Financial Cycle in South Africa

The South African Financial Cycle and its Relation to Household Deleveraging

Fractal Asset Pricing Models for Financial Risk Management

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