03390nam 2200625Ia 450 991046368660332120170821155850.01-4623-5172-71-282-84432-61-4518-7378-61-4527-8436-19786612844324(CKB)3170000000055372(EBL)1608850(SSID)ssj0000939946(PQKBManifestationID)11967004(PQKBTitleCode)TC0000939946(PQKBWorkID)10939161(PQKB)10290905(OCoLC)680613554(MiAaPQ)EBC1608850(EXLCZ)99317000000005537220100329d2009 uf 0engur|n|---|||||txtccrThree cycles[electronic resource] housing, credit, and real activity /prepared by Deniz Igan ... [et al.][Washington, D.C.] International Monetary Fund, Research Dept.20091 online resource (45 p.)IMF working paper ;09/231"October 2009."1-4519-1796-1 Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Methodology; A. Common versus Idiosyncratic Components; B. Measures of Comovement; C. Characteristics of Cycles; III. Data and Data Transformations; A. Data; B. Unit Root Tests; 1. Unit Root Tests; C. Band-Pass Filter; 1. Filtered versus Differenced Series; 2. Variance Shares; IV. Results; A. Domestic Cycles; 2. Total Cyclical Movements of Real GDP, Credit and House Prices; 3. Cycle Characteristics; 4. Characteristics of Mortgagee Markets; 5. Correlation Coefficients for Total Cyclical Components6. Leads and Lags between Cycles within Countries7. Evolution of Cyclical Movements Driven by Common Components; 3. Total Cyclical Movements versus Common Components in Selected Countries Real GDP; 4. Common Components for Selected Countries; B. International Comovement of Cycles; 8. Lead-Lag Relations between the United States and Other Countries; V. Conclusion; Appendix: Data Coverage and Sources; References; FootnotesWe examine the characteristics and comovement of cycles in house prices, credit, real activity and interest rates in advanced economies during the past 25 years, using a dynamic generalized factor model. House price cycles generally lead credit and business cycles over the long term, while in the short to medium term the relationship varies across countries. Interest rates tend to lag other cycles at all time horizons. While global factors are important, the U.S. business cycle, house price cycle and interest rate cycle generally lead the respective cycles in other countries over all time horiIMF working paper ;WP/09/231.Business cyclesConsumer creditInternational economic relationsElectronic books.Business cycles.Consumer credit.International economic relations.338.54Igan Deniz873077International Monetary Fund.Research Dept.MiAaPQMiAaPQMiAaPQBOOK9910463686603321Three cycles2286488UNINA