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Activity Number: 450
Type: Contributed
Date/Time: Tuesday, August 2, 2016 : 2:00 PM to 2:45 PM
Sponsor: Business and Economic Statistics Section
Abstract #321811
Title: Comparison of Financial Cycles to Other Economic Cycles: Old Methods and New Dimension
Author(s): Joselito Basilio*
Companies: Bangko Sentral ng Pilipinas
Keywords: financial cycle ; business cycle ; band pass filter ; regime switching ; macro-financial policy

This research surveys the most commonly used methods in accounting for business cycles and applies them to observe cycles in various financial sector variables. Applications of the following methods yield relatively consistent results: band pass filters; turning points analysis or algorithm; and regime-switching methods. A comparison of the observed financial cycles to other economic cycles show that downturns are deeper and longer when business cycles are accompanied by financial cycles. This implies that various mix of macroeconomic and financial policies must be in place depending on the phase of the cycle the economy and its financial sector is in.

Authors who are presenting talks have a * after their name.

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