Three cycles [[electronic resource] ] : housing, credit, and real activity / / prepared by Deniz Igan ... [et al.]

• Pubblicazione: [Washington, D.C.], : International Monetary Fund, Research Dept., 2009
• Descrizione fisica: 1 online resource (45 p.)
• Disciplina: 338.54
• Soggetto topico: Business cycles; Consumer credit; International economic relations
• Soggetto genere / forma: Electronic books.
• Altri autori: IganDeniz
• Note generali: "October 2009."
• Nota di contenuto: 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 Components ; 6. 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; Footnotes
• Sommario/riassunto: We 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 hori
• Titolo autorizzato: Three cycles
• ISBN: 1-4623-5172-7; 1-282-84432-6; 1-4518-7378-6; 1-4527-8436-1; 9786612844324
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910463686603321
• Lo trovi qui: Univ. Federico II
• Serie: IMF working paper ; ; WP/09/231.