Financial and business cycles in Central, Eastern and Southeastern Europe emerging markets
|Author:||Mgr. Martina Kučerová|
|Year:||2017 - winter|
|Leaders:|| doc. PhDr. Adam Geršl Ph.D.
|Work type:|| Economic Theory
|Awards and prizes:|
|Abstract:||This thesis analyzes development of financial and business cycles in CESEE
region using the sample of 23 emerging economies over the period 1995q1-
2015q4. We report three main results. First, we identify more cases of financial
cycles than business cycles. Financial cycles measured by house price ratio tend
to last longer in comparison to credit cycles. Second, cross-correlation results
detect high synchronization of business and financial cycles among economies.
The concordance index indicate that business cycles and financial cycles are
rather counter-cyclical as the index values are low in the most economies from
our sample. Third, regression findings reveal that the indicators of economic
activity are important in affecting the downturn duration of financial cycles.
For the upturn phase are more relevant the financial development measures.