The Nature of Financial and Real Business Cycles : The Great Moderation and Banking Sector Pro-Cyclicality

Balázs Égerti ; Douglas Sutherlandi iOECD

Organisation for Economic Co-operation and Development

关键词: banking system;    financial cycles;    great moderation;    financial markets;    real business cycles;   

DOI  :  https://doi.org/10.1787/5k9h28k3gt24-en

学科分类：社会科学、人文和艺术（综合）

来源: OECD iLibrary

【 摘 要 】

This paper takes a fresh look at the nature of financial and real business cycles in OECD countries using annual data series and shorter quarterly and monthly economic indicators. It first analyses the main characteristics of the cycle, including the length, amplitude, asymmetry and changes of these parameters during expansions and contractions. It then studies the degree of economic and financial cycle synchronisation between OECD countries but also of economic and financial variables within a given country, and gauges the extent to which cycle synchronisation changed over time. Finally, the paper provides some new evidence on the drivers of the great moderation and analyses the banking sector’s pro-cyclicality by using aggregate and bank-level data. The main findings show that the amplitude of the real business cycle was becoming smaller during the great moderation, but asset price cycles were becoming more volatile. In part this was linked to developments in the banking sector which tended to accentuate pro-cyclical behaviour.