Finance-augmented business cycles: A robustness check

IF 0.6 Q3 Economics, Econometrics and Finance

Economics Bulletin Pub Date : 2016-02-04 DOI:10.7892/BORIS.91717

Octavio Fernández-Amador

引用次数: 1

Abstract

Recent literature has highlighted the importance of considering the financial cycle for the estimation of business cycles. The applied estimation approaches, however, differ widely and cyclical estimates are therefore difficult to compare. In this paper, we assess the robustness of finance-augmented business cycle estimates to different trend specifications for Japan, the UK, and the US. In line with earlier studies, we confirm that the inclusion of financial variables strongly affects the estimates of the business cycle, resulting in larger amplitudes and more persistent dynamics than traditional cycle estimates. While the dynamics of the cyclical component does not depend much on the model used, its amplitude shows strong sensitivity to the underlying assumptions of the trend model.

查看原文本刊更多论文

金融增强的商业周期:稳健性检查

最近的文献强调了考虑金融周期对商业周期估计的重要性。然而，应用的估计方法差别很大，因此很难比较周期估计。在本文中，我们评估了金融增强商业周期估计对日本、英国和美国不同趋势规范的稳健性。与早期的研究一致，我们证实，金融变量的纳入强烈影响商业周期的估计，导致比传统周期估计更大的振幅和更持久的动态。虽然周期分量的动态不太取决于所使用的模型，但其振幅对趋势模型的基本假设表现出很强的敏感性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Economics Bulletin ECONOMICS-

CiteScore

1.60

自引率

0.00%

发文量

期刊介绍： The Economic Bulletin is an open-access letters journal founded in 2001 with the mission of providing free and extremely rapid scientific communication across the entire community of research economists. EB publishes original notes, comments, and preliminary results. We are especially interested in publishingmanuscripts that keep the profession informed about on-going research programs. Our publication standard is that a manuscript be original, correct and of interest to a specialist. Submissions in these categories are refereed and our objective is to make a decision within two months. Accepted papers are published immediately. It is expected that in many cases, manuscripts published in these categories will form the foundation for more complete works to besubsequently submitted to other journals. In all cases, submissions are restricted to seven printed pages exclusive of references, tables, figures, and appendices, and must be in PDF format. EB also publishes non-refereed letters to the editor, conference announcements and research announcements.