TY  - UNPD
A1  - Potjagailo, Galina
A1  - Wolters, Maik Hendrik
T1  - Global financial cycles since 1880
T2  - Working paper series / Institute for Monetary and Financial Stability ; 132
N2  - We analyze cyclical co-movement in credit, house prices, equity prices, and longterm interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, we analyze the dynamics of co-movement at different levels of aggregation and compare recent developments to earlier episodes such as the early era of financial globalization from 1880 to 1913 and the Great Depression. We find that joint global dynamics across various financial quantities and prices as well as variable-specific global co-movements are important to explain fluctuations in the data. From a historical perspective, global co-movement in financial variables is not a new phenomenon, but its importance has increased for some variables since the 1980s. For equity prices, global cycles play currently a historically unprecedented role, explaining more than half of the fluctuations in the data. Global cycles in credit and housing have become much more pronounced and longer, but their importance in explaining dynamics has only increased for some economies including the US, the UK and Nordic European countries. We also include GDP in the analysis and find an increasing role for a global business cycle.
T3  - Working paper series / Institute for Monetary and Financial Stability - 132 
KW  - financial cycles
KW  - financial crisis
KW  - global co-movement
KW  - dynamic factor models
KW  - time-varying parameter
KW  - macro-finance
Y1  - 2019
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/50056
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-500567
UR  - https://www.imfs-frankfurt.de/fileadmin/user_upload/IMFS_WP/IMFS_WP_132.pdf
IS  - March 26, 2019
PB  - Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability
CY  - Frankfurt am Main
ER  -