<abstract xmlns="http://www.w3.org/1999/xhtml"><p>The paper aims to identify the main characteristics of the financial cycle for Romania using both the classical and growth cycle approaches. The turning point methodology represents the classical approach, while a band-pass filter is applied to capture the growth cycle. First, the paper assesses the significance of the medium-term cyclical component and finds that its importance increased since 2000s. The second purpose is to identify the relevant variables for the construction of a composite measure of the financial cycle. The results reveal that total credit and real estate prices are the best candidates. Regarding cycles’ characteristics, the classical approach shows that credit cycles tend last around 10 years, while the real estate cycles are longer and exhibit higher corrections during downturns.</p></abstract>

The paper aims to identify the main characteristics of the financial cycle for Romania using both the classical and growth cycle approaches. The turning point methodology represents the classical approach, while a band-pass filter is applied to capture the growth cycle. First, the paper assesses the significance of the medium-term cyclical component and finds that its importance increased since 2000s. The second purpose is to identify the relevant variables for the construction of a composite measure of the financial cycle. The results reveal that total credit and real estate prices are the best candidates. Regarding cycles’ characteristics, the classical approach shows that credit cycles tend last around 10 years, while the real estate cycles are longer and exhibit higher corrections during downturns.

Financial cycle. How does it look like in Romania?

The Bucharest University of Economics Studies

Proceedings of the International Conference on Applied Statistics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"Financial cycle. How does it look like in Romania?"}

The paper aims to identify the main characteristics of the financial cycle for Romania using both the classical and growth cycle approaches. The turning point...

Financial cycle. How does it look like in Romania?

Published Online: Feb 13, 2020

Page range: 473 - 483

DOI: https://doi.org/10.2478/icas-2019-0041

Keywords
financial cycle, turning-points, band-pass filter, macroprudential policy

© 2019 Luminita Tatarici, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Financial cycle. How does it look like in Romania?

Published Online: Feb 13, 2020

Page range: 473 - 483

DOI: https://doi.org/10.2478/icas-2019-0041

Keywordsfinancial cycle, turning-points, band-pass filter, macroprudential policy

© 2019 Luminita Tatarici, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Keywords
financial cycle, turning-points, band-pass filter, macroprudential policy