Credit and business cycles : causal effects in the frequency domain
dc.audience | Policymakers | eng |
dc.audience | Researchers | eng |
dc.audience | Students | eng |
dc.audience | Teachers | eng |
dc.coverage.sucursal | Bogotá | eng |
dc.creator | Gómez-González, José Eduardo | eng |
dc.creator | Villamizar-Villegas, Mauricio | eng |
dc.creator | Zárate-Solano, Hector Manuel | eng |
dc.creator | Amador-Torres, Juan Sebastián | spa |
dc.creator | Gaitán-Maldonado, Celina | eng |
dc.date.accessioned | 2015-12-01T08:30:10Z | eng |
dc.date.available | 2015-12-01T08:30:10Z | eng |
dc.date.created | 2015-12-01 | eng |
dc.date.issued | 2015-12 | eng |
dc.description | Tradicionalmente, las recesiones han venido acompañadas de disrupciones importantes en el funcionamiento del sistema financiero. Paradójicamente, antes de la crisis financiera de 2007-2009 se daba muy poca importancia a la interdependencia entre la macroeconomía y el sistema financiero. En este documento estudiamos la relación entre ciclos financieros y ciclos de producto para una muestra de treinta y tres países. Específicamente, caracterizamos la interdependencia entre estos ciclos y realizamos pruebas de causalidad tipo Granger en el dominio de la frecuencia. Nuestros resultados principales indican que la mayor interdependencia ocurre en frecuencias asociables al mediano y largo plazo. Encontramos evidencia de causalidad bi-direccional. | eng |
dc.description.abstract | The history of economic recessions has shown that every deep downturn has been accompanied by disruptions in the financial sector. Paradoxically, up until the financial world crisis of 2007–2009, little attention was given to macroeconomic and financial interdependence. In this paper, a study is conducted on the relationship between financial and real business cycles for a sample of thirty-three countries in the frequency domain. Specifically, the features of the interdependence of credit and output cycles are analysed and Granger-type causality tests are carried out in the frequency domain. The main findings of the study indicate that the likelihood of cycle interdependence is highest when considering medium and long-term frequencies, and that Granger causality runs in both directions. | eng |
dc.format.extent | 14 páginas : gráficas, tablas | eng |
dc.format.mimetype | eng | |
dc.identifier.handle | https://hdl.handle.net/20.500.12134/6529 | spa |
dc.identifier.uri | https://repositorio.banrep.gov.co/handle/20.500.12134/6529 | |
dc.language.iso | eng | eng |
dc.publisher | Banco de la República de Colombia | eng |
dc.relation.doi | https://doi.org/10.1016/j.espe.2015.05.002 | eng |
dc.relation.dotec | https://ideas.repec.org/a/col/000107/014121.html | spa |
dc.relation.ispartof | Artículos de revista | eng |
dc.relation.ispartofseries | Revista Ensayos Sobre Política Económica | eng |
dc.relation.issn | 0120-4483 | eng |
dc.relation.isversionof | Revista Ensayos Sobre Política Económica; Vol. 33. No. 78. Diciembre, 2015. Pág.: 176-189. | eng |
dc.relation.repec | https://ideas.repec.org/a/bdr/ensayo/v33y2015i78p176-189.html | spa |
dc.rights.accessRights | Open Access | eng |
dc.rights.cc | Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 | eng |
dc.rights.spa | Acceso abierto | spa |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/4.0/ | eng |
dc.source.bibliographicCitation | Aikman, D., Haldane, A., & Nelson, B. (2011). “Curbing the Credit Cycle,” March. Bank of England, Speech 463. | eng |
dc.source.bibliographicCitation | Amador, J. S., Gómez-González, J. E., & Murcia, A. (2013). Loan growth and bank risk: New evidence. Financial Markets and Portfolio Management, 27, 365–379. | eng |
dc.source.bibliographicCitation | Asea, P., & Blomberg, P. (1998). Lending cycles. Journal of Econometrics, 83, 89–128. | eng |
dc.source.handleRepec | RepEc:bdr:ensayo:v:33:y:2015:i:78:p:176-189 | spa |
dc.subject | Dominio de la frecuencia | eng |
dc.subject | Causalidad de Granger | eng |
dc.subject | Interdependencia entre ciclos financieros y reales | eng |
dc.subject.jel | E32 - Business Fluctuations; Cycles | eng |
dc.subject.jel | E44 - Financial Markets and the Macroeconomy | eng |
dc.subject.jel | C38 - Classification Methods; Cluster Analysis; Principal Components; Factor Analysis | eng |
dc.subject.jelspa | E32 - Fluctuaciones económicas; Ciclos | eng |
dc.subject.jelspa | C38 - Métodos de clasificación; Análisis cluster; Análisis de componentes principales; Análisis factorial | eng |
dc.subject.keyword | Frequency domain | eng |
dc.subject.keyword | Granger causality | eng |
dc.subject.keyword | Credit and output cycle interdependence | eng |
dc.subject.lemb | Ciclos financieros -- Estudios comparados | eng |
dc.subject.lemb | Ciclos económicos -- Estudios comparados | eng |
dc.subject.lemb | Recesiones -- Estudios comparados | eng |
dc.title | Credit and business cycles : causal effects in the frequency domain | eng |
dc.title.alternative | Crédito y ciclos económicos : efectos causales en el dominio de la frecuencia | eng |
dc.type | Article | eng |
dc.type.hasversion | Published Version | eng |
dc.type.spa | Artículo | eng |
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