Synthetic financial cycle model allows crisis predictions, paper argues
New methodology offers insights into financial and business cycles
A synthetic financial cycle can provide a better indicator of forthcoming financial crises than the credit-to-GDP gap, argues a working paper published today (September 14) by the European Central Bank.
In Characterising the financial cycle: a multivariate and time-varying approach, Yves Schuler, Paul Hiebert and Thomas Peltonen apply a new methodology for studying financial and business cycles to quarterly data from 13 European Union countries in the period 1970–2013, as well as an aggregate
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