Creating Financial Cycles in China and Interaction with Business Cycles on the Chinese Economy

Shen, Chung‐Hua; Ren, Jie; Huang, Yu-Li; Shi, Junguo; Wang, Anqi

doi:10.1080/1540496x.2017.1369402

Cited by 9 publications

(6 citation statements)

References 31 publications

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“…In respect to the work on non-US markets, one of the most notable is Kamin and Kleist (1999) who study the determinants of credit risk spreads. Recently economic cycle analysis, widely employed for the developed countries studies, has been applied to EM economies (Shen et al 2018;Ahi et al 2018). Sensoy et al (2019) study the European sovereign bond markets.…”

Section: Introductionmentioning

confidence: 99%

Governed by the cycle: interest rate sensitivity of emerging market corporate debt

Gubareva

Borges

2021

Ann Oper Res

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This study addresses interest rate sensitivity of emerging market corporate debt. Previous research suggests that interest rate sensitivity of corporate bonds depends on residual maturity of issues, creditworthiness of issuers, embedded options and other idiosyncratic factors. However, the dependence of interest rate sensitivity on phases of the business cycle has not received an appropriate academic attention. This paper provides empirical evidence and theoretical interpretation of a dichotomy of interest rate sensitivity across the phases of the cycle, and sheds light on how credit spreads respond to interest rates. The historical span of the research covers the period of 2004-2016. The findings imply that hedging interest rate risk ought to be a dynamic process and take into consideration where the economy is positioned in the current business cycle. This research provides important insights on the nature of interest rate sensitivity, capable of enhancing financial stability and improving efficiency of financial system.

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Section: Introductionmentioning

confidence: 99%

Governed by the cycle: interest rate sensitivity of emerging market corporate debt

Gubareva

Borges

2021

Ann Oper Res

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“…Besides, it emphasizes the unsustainability of financial market developments, the continuous accumulation of financial imbalances, and the rapid destruction of financial recession. The relevant conclusions can help policymakers and managers recognize and understand the characteristics of the financial cycles and the financial system before bailing out the real economy (see Shen et al, 2018).…”

Section: Discussionmentioning

confidence: 99%

“…Besides, the financial fluctuations precede the business fluctuations during the financial events because an increase in the systemic financial risk could lead to a severe macroeconomic dislocation (see Li et al, 2021). It implies that policymakers should consider the financial system before bailing out the real economy, which alone is insufficient for recovering the macroeconomy (see Shen et al, 2018).…”

Section: Global Financial Cycle and Economymentioning

confidence: 99%

The mean reversion/persistence of financial cycles: Empirical evidence for 24 countries worldwide

Zhang²,

Fan³

et al. 2023

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Research background: The globalization trend has inevitably enhanced the connectivity of global financial markets, making the cyclicality of financial activities and the spread of market imbalances have received widespread attention, especially after the global financial crisis. Purpose of the article: To reduce the negative effects of the contagiousness of the financial cycles, it is necessary to study the persistence of financial cycles and carve out the total connectedness, spillover paths, and sources of risks on a global scale. In addition, understanding the relationship between the financial cycle and economic development is an important way to prevent financial crises. Methods: This paper adopts the nonlinear smoothing transition autoregressive (STAR) model to extract cyclical and phase characteristics of financial cycles based on 24 countries during 1971Q1?2015Q4, covering developed and developing countries, the Americas, Europe, and Asia regions. In addition, the frequency connectedness approach is used to measure the connectedness of financial cycles and the relationship between the global financial cycle and the global economy. Findings & value added: The analysis reveals that aggregate financial cycles persist for 13.3 years for smoothed and 8.7 years for unsmoothed on average. The national financial cycles are asynchronous and exhibit more prolonged expansions and faster contractions. The connectedness of financial cycles is highly correlated with systemic crises and contributes to the persistence and harmfulness of shocks. It is mainly driven by short-term components and exhibits more pronounced interconnectedness within regions than across regions. During the financial crisis, the global financial cycle movements precede and are longer than the business fluctuations. Based on the study, some policy implications are presented. This paper emphasizes the impact of systemic crises on the persistence of financial cycles and their connectedness, which contributes to refining research related to the coping mechanisms of financial crises.

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“…Kolaborasi tekanan dengan sendirinya akan memberikan efek turbulensi pada tekanan gelombang siklus keuangan (Shen et al, 2018). Tekanan dan turbulensi menciptakan lag pada gelombang siklus keuangan yang mengakibatkan proses pergerakan laju tekanan menjadi semakin lambat dan semakin dalam terhadap proses pencapaian stabilitas keuangan ataupun pertumbuhan ekonomi (Ardila et al, 2016).…”

Section: Tinjauan Literaturunclassified

Analisis Pergeseran Tekanan Siklus Keuangan di Indonesia

Basmar,

Sutriana,

Salim

et al. 2022

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Pergeseran gelombang siklus keuangan menjadi indikator dalam mengukur stabilitas keuangan dan pertumbuhan perekonomian, sehingga untuk mengetahui pergeseran tersebut diperlukan model yang tepat, melalui pengembangan model Ed Waves Index melalui data time series dari tahun 2019 hingga tahun 2022, hasil penelitian ditemukan bahwa terdapat 4 jenis pergeseran yaitu pergeseran jenis λ1’ dengan berat tekanan antara -0.015 A ke 0.010 A melalui durasi selama 12 bulan dengan efek positif pada pertumbuhan perekonomian, lalu pergeseran jenis λ2’ dengan berat tekanan antara 0.010 A ke -0.027 A melalui durasi 15 Bulan dengan efek negative pada stabilitas keuangan, kemudian pergeseran jenis λ3’ dengan berat tekanan antara -0.027 A ke -0.010 A melalui durasi selama 12 bulan dengan efek negative pada pertumbuhan perekonomian, adapun pergeseran jenis λ4’ dengan berat tekanan antara 0.010 A ke 0.025 A melalui durasi selama 14.5 bulan dengan efek negative pada stabilitas keuangan di Indonesia, sehingga dapat dikatakan bahwa penelitian ini dapat memberikan kontribusi pada efektifitas kinerja keuangan, khususnya sektor perbankan maupun Bank Indonesia dalam menetapkan kebijakan yang efektif bagi perekonomian di Indonesia.

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Creating Financial Cycles in China and Interaction with Business Cycles on the Chinese Economy

Cited by 9 publications

References 31 publications

Governed by the cycle: interest rate sensitivity of emerging market corporate debt

Governed by the cycle: interest rate sensitivity of emerging market corporate debt

The mean reversion/persistence of financial cycles: Empirical evidence for 24 countries worldwide

Analisis Pergeseran Tekanan Siklus Keuangan di Indonesia

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