کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5053074 1476504 2017 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The financial cycles in four East Asian economies
ترجمه فارسی عنوان
چرخه های مالی در چهار اقتصاد شرق آسیا
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


- This study characterizes financial cycles in Hong Kong, Malaysia, Philippines and Thailand.
- With one exception, the period of financial cycles is slightly longer than the period of business cycles.
- Period of financial cycles do not operate at low frequencies of periods between 8 to 32 years.
- Financial cycles are captured by a band-pass filter estimated using the periods obtained in this study.
- Need to be careful on the assumed frequency range the financial cycle is believed to operate.

This paper characterizes proxy measures of financial cycles using available data on four East Asian economies, viz., Hong Kong, Malaysia, the Philippines and Thailand. Spectral analysis is adopted to characterize the financial cycles and these cycles are compared with the business cycles of the four East Asian economies. The empirical findings indicated that with the exception of the equity price growth in Hong Kong, the period of the proxy measures for financial cycles is slightly longer than the period of the business cycle. More to the point, there is no evidence to show that the period of the proxy measures for financial cycles in these economies are operating at low frequencies similar to the period of the cycles of between 8 to 32 years observed for advanced economies such as the US, UK and Germany. Taking one step further, the paper finds that the financial cycles of these four economies are better captured by a band-pass filter estimated using the periods obtained in the paper as opposed to using long period cycles of between 8 to 32 years. These findings imply that one needs to be careful in making an a priori assumption on the frequency range the financial cycle is believed to operate.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 65, September 2017, Pages 51-66
نویسندگان
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