Frequency Domain

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  • Credit and business cycles: Causal effects in the frequency domain

    Publicación |

    The history of economic recessions has shown that every deep downturn has been accompanied by disruptions in the financial sector. Paradoxically, up until the financial world crisis of 2007–2009, little attention was given to macroeconomic and financial interdependence. In this paper, a study is…

  • The Interdependence between Commodity-Price and GDP Cycles: A Frequency Domain Approach

    Publicación |

    We study the interdependence between real commodity prices and world real GDP using long-term annual data since 1870, by performing two empirical exercises. First, we compute long-term and medium-term cycles and measure their degree of synchronization for different leads and lags. Second, we…

  • Credit and Business Cycles: An Empirical Analysis in the Frequency Domain

    Publicación |

    The history of economic recessions has shown that every deep downturn has been accompanied by disruptions in the …financial sector. Paradoxically, up until the …financial world crisis of 2007-2009, little attention was given to macroeconomic and …financial interdependence. And, in spite of a…

  • The Interdependence between Credit and Real Business Cycles in Latin American Economies

    Publicación |

    In this document we estimate credit and GDP cycles for three Latin-American economies and study their relation in the time and frequency domains. Cycles are estimated in order to analyze their medium and short-term frequencies. We find that short-term cycles are usually more volatile than medium…