Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

PL EN


2018 | 356 | 57-77

Article title

Konwergencja finansowa w krajach europejskich – wnioski dla polityki pieniężnej i makroostrożnościowej

Content

Title variants

EN
Financial convergence in the European countries – conclusions for monetary and macroprudential policies

Languages of publication

PL

Abstracts

PL
Celem artykułu była analiza synchronizacji cykli finansowych w krajach europejskich i ocena możliwości zidentyfikowania jednego europejskiego cyklu finansowego. Zastosowana metoda badawcza opiera się na wskaźniku synchronizacji Hardinga i Pagana [2002]. Ponadto, aby móc określić zasadność identyfikacji europejskiego cyklu finansowego, w niniejszym artykule zastosowano metodę umożliwiającą segregację najbardziej zbliżonych do siebie cykli finansowych w klastry. Wyniki sugerują, że zmiany poziomu synchronizacji cykli obserwuje się w okresie dwóch głównych wydarzeń, tj. powstania strefy euro oraz kryzysu subprime. Zidentyfikowano również wspólny cykl finansowy kształtowany przez 14 z 20 badanych krajów europejskich. Jednak analiza głównych składowych wykazała, że cykl ten w niewystarczający sposób wyjaśnia zmienność cykli finansowych poszczególnych krajów europejskich i jego przebieg jest istotnie różny od cyklu finansowego największej gospodarki UE, tj. Niemiec. Zatem ograniczona synchronizacja cykli finansowych: (1) uzasadnia konieczność pozostawienia pewnego zakresu autonomii krajowym organom makroostrożnościowym oraz (2) oznacza różny stopień procykliczności polityki pieniężnej względem cyklu finansowego w krajach strefy euro.
EN
The goal of the article was to analyze the synchronization of financial cycles in European countries and to assess the possibility of identifying one European financial cycle. The research method applied here is based on the Harding and Pagan (2002) concordance index. In order to identify a European financial cycle, the article uses a method that allows the segregation of the most closely related financial cycles into clusters. The results suggest that changes in the level of cycle synchronization are observed during the two main events, i.e., the creation of the Eurozone and the subprime crisis. A joint financial cycle shaped by 14 out of 20 surveyed European countries was also identified; however, the analysis of the main components showed that this cycle insufficiently explains the volatility of the financial cycles of individual European countries and its course is significantly different from the financial cycle of the largest EU economy, i.e. Germany. Thus, the limited synchronization of the financial cycles: (1) justifies the necessity of leaving some scope of autonomy to the national macroprudential authorities and (2) reveals a different degree of procyclicality of the monetary policy with respect to the financial cycle in eurozone countries.

Year

Volume

356

Pages

57-77

Physical description

Contributors

  • Szkoła Główna Handlowa w Warszawie. Instytut Finansów
  • Szkoła Główna Handlowa w Warszawie. Instytut Finansów

References

  • Adrian R., Shin H. (2008), Financial Intermediaries, Financial Stability, and Monetary Policy, Federal Reserve Bank of New York Staff Reports, No. 346.
  • Agrippino S., Rey H. (2015), World Asset Markets and the Global Financial Cycle, NBER Working Paper, No. 21722.
  • Ahmed J., Chaudhry S.M., Straetmans S. (2017), Business and Financial Cycles in the Eurozone: Synchronization or Decoupling, “The Manchester School”, Vol. 86, No. 3, s. 358-389.
  • Aikman D., Haldane A.G., Nelson B. (2015), Curbing the Credit Cycle, “The Economic Journal”, Vol. 125(585), s. 1072-1079.
  • Alessi L., Detken C., (2018), Identifying Excessive Credit Growth and Leverage, “Journal of Financial Stability”, Vol. 35, s. 215-225.
  • Avouyi-Dovi S., Kierzenkowski R., Lubochinsky C. (2006), Are Business and Credit Cycles Converging or Diverging? A Comparison of Poland, Hungary, the Czech Republic and the Euro Area, Working Papers, No. 144, Banque de France.
  • Basel Committee on Banking Supervision (2010), Guidance for National Authorities Operating the Countercyclical Capital Buffer, Bank for International Settlements.
  • Bauer G., Pasricha G., Sekkel R., Terajima Y. (2016), The Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies, Bank of Canada Staff Working Paper, No. 38.
  • Bjellerup M., Shahnazarian H. (2013), The Interaction between the Financial System and the Real Economy, Report from the Economic Affairs Department at the Ministry of Finance, Sweden.
  • Borio C., Furfine C., Lowe P. (2011), Procyclicality of the Financial System and Financial Stability: Issues and Policy Options, “BIS Papers”, No. 1, s. 1-57.
  • Bry G., Boschan C. (1971), Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, NBER Books, National Bureau of Economic Research Inc., Cambridge.
  • Brzoza-Brzezina M., Jacquinot P., Kolasa M. (2010), Can We Prevent Boom-Bust Cycles during Euro Area Accession? “ECB Working Paper”, No. 1280.
  • Claessens S., Kose M.A., Terrones E.M. (2011), How Do Business and Financial Cycles Interact? IMF Working Paper, No. WP/11/88.
  • Comunale M. (2015), Financial Cycle Measures For 41 Countries: A New Database, Bank of Lithuania, Occasional Paper, No. 9.
  • Dees S., di Mauro F., Pesaran M.H., Smith L.V. (2007), Exploring the International Linkages of the Euro Area: A Global VAR Analysis, “Journal of Applied Econometrics”, No. 22(1), s. 1-38.
  • Drehmann M., Borio C., Tsatsaronis K. (2012), Characterising the Financial Cycle: Don’t Lose Sight of the Medium Term! “Bank for International Settlements Working Papers”, No. 380.
  • Estrella A., Mishkin F. (1998), Predicting U.S. Recessions: Financial Variables As Leading Indicators, “The Review of Economics and Statistics”, Vol. 80, s. 45-61.
  • Grigoras V., Stanciu I.E. (2015), New Evidence on the Synchronization of Business Cycles: Is there an European Business Cycle? “International Economics”, Vol. 147, s. 27-52.
  • Harding D., Pagan A. (2002), Dissecting the Cycle: A Methodological Investigation, “Journal of Monetary Economics”, Vol. 49(2), s. 365-381.
  • Juselius M., Borio C., Disyatat P., Drehmann M. (2017), Monetary Policy, the Financial Cycle and Ultra-Low Interest Rates, “International Journal of Central Banking”, September Issues, s. 55-89.
  • Kurowski Ł., Rogowicz K. (2018), Are Business and Credit Cycles Synchronised Internally or Externally? “Economic Modelling”, (w druku), doi.org/10.1016/j.econmod.2018.05.009.
  • Meller B., Metiu N. (2015), The Synchronization of European Credit Cycles, Deutsche Bundesbank Discussion Paper, No. 20.
  • Monfort M., Cuestas J., Ordonez J. (2013), Real Convergence in Europe: A Cluster Analysis, “Economic Modelling”, Vol. 33, s. 689-694.
  • Ollivaud P., Turner D., (2014), The Effect of the Global Financial Crisis on OECD Potential Output, “OECD Journal: Economic Studies”, Vol. 2014, s. 41-61.
  • Orlowski L. (2005), Monetary Convergence of the EU Accession Countries to the Eurozone: A Theoretical Framework and Policy Implications, “Journal of Banking & Finance”, Vol. 29(1), s. 203-225.
  • Reinhart C., Rogoff K. (2009), The Aftermath of Financial Crises, NBER Working Paper, No. 14656.
  • Scharnagl M., Mandler M. (2016), Financial Cycles in the Euro Area: A Wavelet Analysis, Deutsche Bundesbank.
  • Strohsal T., Proano C.R., Wolters J. (2015), Characterizing the Financial Cycle: Evidence from a Frequency Domain Analysis, Deutsche Bundesbank Discussion Paper, No. 22.
  • Vitols S. (1998), Are German Banks Different? “Small Business Economics”, Vol. 10, s. 79-91.

Document Type

Publication order reference

Identifiers

ISSN
2083-8611

YADDA identifier

bwmeta1.element.cejsh-baed338b-2e31-4b07-962d-4420502bf1e3
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.