- Tytuł:
- Empirical Properties of the Credit and Equity Cycle within Almost Periodically Correlated Stochastic Processes - the Case of Poland, UK and USA
- Autorzy:
-
Lenart, Łukasz
Pipień, Mateusz - Powiązania:
- https://bibliotekanauki.pl/articles/2076533.pdf
- Data publikacji:
- 2015
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
financial cycle
business cycle
discrete spectral analysis
APC processes
subsampling approach - Opis:
- We discuss the notion of the financial cycle making a clear indication that the thorough study of its empirical properties in case of developing economies is still missing. We focus on the observed series of credit and equity and make formal statistical inference about the properties of the cycles in case of Polish economy. The non-standard subsampling procedure and discrete spectral characteristics of almost periodically correlated time series are applied to make formal statistical inference about the cycle. We compare the results with those obtained for UK and USA. We extract the cyclical component and confront empirical properties of the financial cycle for small open economy with those established so far in case of developed economies.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2015, 3; 169-186
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł