Abstract

GOMEZ-GONZALEZ, Jose Eduardo et al. Credit and business cycles: Causal effects in the frequency domain. Ens. polit. econ. [online]. 2015, vol.33, n.78, pp.176-189. ISSN 0120-4483.

The history of economic recessions has shown that every deep downturn has been accompanied by disruptions in the financial sector. Paradoxically, up until the financial world crisis of 2007-2009, little attention was given to macroeconomic and financial interdependence. In this paper, a study is conducted on the relationship between financial and real business cycles for a sample of thirty-three countries in the frequency domain. Specifically, the features of the interdependence of credit and output cycles are analysed and Granger-type causality tests are carried out in the frequency domain. The main findings of the study indicate that the likelihood of cycle interdependence is highest when considering medium and long-term frequencies, and that Granger causality runs in both directions.

Keywords : Frequency domain; Granger causality; Credit and output cycle interdependence.

        · abstract in Spanish     · text in English     · English ( pdf )