Stockhammer, E, Calvert Jump, R, Kohler, K orcid.org/0000-0002-6876-0538 et al. (1 more author) (2019) Short and medium term financial-real cycles: An empirical assessment. Journal of International Money and Finance, 94. pp. 81-96. ISSN 0261-5606
Abstract
Theories such as Minsky’s financial instability hypothesis or New Keynesian financial accelerator models assign a key role to financial factors in business cycle dynamics. We propose a simple VAR-based estimation framework to examine some of the financial-real interaction mechanisms that are at the core of these theories. We examine cycle frequencies in seven OECD countries over the period 1970–2015, and find that output contains short- and medium business cycle frequencies, while interest rates, business debt, and household debt exhibit short-, medium- and long cycles, respectively. We find robust evidence for financial-real interaction mechanisms (i) at high frequencies between interest rates and GDP in Australia and the USA and (ii) at medium frequencies between business debt and GDP in Canada and Great Britain. The effect of interest rates and debt seems to operate via investment rather than consumption. We find no evidence for an interaction mechanism between household debt and GDP. Our results provide support for Minskyan and financial accelerator models in which output interacts with interest rates or corporate debt.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2019 Elsevier Ltd. All rights reserved. This is an author produced version of an article published in Journal of International Money and Finance. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Minsky; Financial accelerator; Financial cycle; Business cycle |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Economics Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 15 Sep 2021 10:27 |
Last Modified: | 29 Sep 2021 03:27 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.jimonfin.2019.02.006 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:178195 |
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