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Jahrbücher für Nationalökonomie und Statistik

Journal of Economics and Statistics

Editor-in-Chief: Winker, Peter

Ed. by Büttner, Thiess / Riphahn, Regina / Smolny, Werner / Wagner, Joachim

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Volume 239, Issue 5-6


Real and Financial Cycles in Euro Area Economies: Results from Wavelet Analysis

Michael Scharnagl / Martin Mandler
  • Corresponding author
  • Directorate General Economics, Deutsche Bundesbank, Wilhelm-Epstein-Strasse 14, D-60431 Frankfurt am Main, Germany
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Published Online: 2019-08-07 | DOI: https://doi.org/10.1515/jbnst-2019-0035


We study the within-country dimension of financial cycles in the four largest euro area economies using tools from wavelet analysis. We focus on credit and house price cycles which are most commonly used to represent the financial cycle. With the exception of Germany, the variables contain important common cycles within each country close to the upper bound of business cycle length and beyond which can be interpreted as financial cycles. These cycles are closely linked to domestic cycles in real activity showing financial and real economic cycles as interconnected phenomena. For these common cycles, credit and house prices lag real GDP.

Keywords: financial cycles; credit cycles; medium-term business cycles; euro area; wavelet analysis

JEL Classification: C30; E32; E51; F36


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About the article

Received: 2019-05-06

Revised: 2019-06-17

Accepted: 2019-06-24

Published Online: 2019-08-07

Published in Print: 2019-09-25

Citation Information: Jahrbücher für Nationalökonomie und Statistik, Volume 239, Issue 5-6, Pages 895–916, ISSN (Online) 2366-049X, ISSN (Print) 0021-4027, DOI: https://doi.org/10.1515/jbnst-2019-0035.

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