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Stylized facts of money and credit over the business cycles

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Stylized facts of money and credit over the business cycles. / Kollintzas, Tryphon; Konstantakopoulou, Ioanna; Tsionas, Michael.
In: Applied Financial Economics, Vol. 21, No. 23, 12.2011, p. 1735-1755.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Kollintzas, T, Konstantakopoulou, I & Tsionas, M 2011, 'Stylized facts of money and credit over the business cycles', Applied Financial Economics, vol. 21, no. 23, pp. 1735-1755. https://doi.org/10.1080/09603107.2011.583215

APA

Kollintzas, T., Konstantakopoulou, I., & Tsionas, M. (2011). Stylized facts of money and credit over the business cycles. Applied Financial Economics, 21(23), 1735-1755. https://doi.org/10.1080/09603107.2011.583215

Vancouver

Kollintzas T, Konstantakopoulou I, Tsionas M. Stylized facts of money and credit over the business cycles. Applied Financial Economics. 2011 Dec;21(23):1735-1755. doi: 10.1080/09603107.2011.583215

Author

Kollintzas, Tryphon ; Konstantakopoulou, Ioanna ; Tsionas, Michael. / Stylized facts of money and credit over the business cycles. In: Applied Financial Economics. 2011 ; Vol. 21, No. 23. pp. 1735-1755.

Bibtex

@article{9dea109031654b0c9d0dbf91171057f3,
title = "Stylized facts of money and credit over the business cycles",
abstract = "This article investigates the stylized facts of money and credit over the business cycles in nine Organization for Economic Cooperation and Development (OECD) countries using quarterly data from 1960 to 2006, through the application of two main detrending methods. Our findings confirm the existence of substantive cyclical regularities across countries. In particular, money supply is procyclical and tends to move in advance of real output; velocity of money is procyclical; domestic credit and credit are procyclical and lag the cycle; deposits are procyclical and tend to lead the cycle; nominal interest rates are procyclical and short-term interest rates lag the cycle, while long-term interest rates lead the cycles, in the majority of countries; term spread is countercyclical and lags the cycle; prices are countercyclical; inflation is procyclical and lags the cycle and liquidity effect is confirmed in all countries.",
keywords = "business cycles, stylized facts, detrending methods, money and credit",
author = "Tryphon Kollintzas and Ioanna Konstantakopoulou and Michael Tsionas",
year = "2011",
month = dec,
doi = "10.1080/09603107.2011.583215",
language = "English",
volume = "21",
pages = "1735--1755",
journal = "Applied Financial Economics",
issn = "0960-3107",
publisher = "Routledge",
number = "23",

}

RIS

TY - JOUR

T1 - Stylized facts of money and credit over the business cycles

AU - Kollintzas, Tryphon

AU - Konstantakopoulou, Ioanna

AU - Tsionas, Michael

PY - 2011/12

Y1 - 2011/12

N2 - This article investigates the stylized facts of money and credit over the business cycles in nine Organization for Economic Cooperation and Development (OECD) countries using quarterly data from 1960 to 2006, through the application of two main detrending methods. Our findings confirm the existence of substantive cyclical regularities across countries. In particular, money supply is procyclical and tends to move in advance of real output; velocity of money is procyclical; domestic credit and credit are procyclical and lag the cycle; deposits are procyclical and tend to lead the cycle; nominal interest rates are procyclical and short-term interest rates lag the cycle, while long-term interest rates lead the cycles, in the majority of countries; term spread is countercyclical and lags the cycle; prices are countercyclical; inflation is procyclical and lags the cycle and liquidity effect is confirmed in all countries.

AB - This article investigates the stylized facts of money and credit over the business cycles in nine Organization for Economic Cooperation and Development (OECD) countries using quarterly data from 1960 to 2006, through the application of two main detrending methods. Our findings confirm the existence of substantive cyclical regularities across countries. In particular, money supply is procyclical and tends to move in advance of real output; velocity of money is procyclical; domestic credit and credit are procyclical and lag the cycle; deposits are procyclical and tend to lead the cycle; nominal interest rates are procyclical and short-term interest rates lag the cycle, while long-term interest rates lead the cycles, in the majority of countries; term spread is countercyclical and lags the cycle; prices are countercyclical; inflation is procyclical and lags the cycle and liquidity effect is confirmed in all countries.

KW - business cycles

KW - stylized facts

KW - detrending methods

KW - money and credit

U2 - 10.1080/09603107.2011.583215

DO - 10.1080/09603107.2011.583215

M3 - Journal article

VL - 21

SP - 1735

EP - 1755

JO - Applied Financial Economics

JF - Applied Financial Economics

SN - 0960-3107

IS - 23

ER -