Template-Type: ReDIF-Paper 1.0
Author-Name: Mariarosaria Comunale
Author-X-Name-First: Mariarosaria
Author-X-Name-Last: Comunale
Author-Email: mcomunale@lb.lt
Author-Workplace-Name: Bank of Lithuania

Title: Financial cycle measures for 41 countries: A new database
Abstract: We built different financial cycle measures, also applied recently in Comunale and Hessel (2014).
Our aim is to provide a comprehensive database with definitions of variables that may be of use for crosscountry comparative analysis.
The database includes 41 countries (EU28 and OECD members) from 1994 to 2014 with both annual and quarterly frequency.
The main contributions of our database are that: i) it is publicly available and freely downloadable from the website of the Bank of Lithuania and it can be used subject to a clear reference; ii) the data are updated to the most recent year/quarter available; ii) considers not only the EU members as of 2014 (Croatia is therefore included in the sample), but also other non-EU countries part of the OECD (including both advanced and developing economies); iii) is built using both HP filtering techniques and the Principal Component Analysis (PCA), the latter are used to compute synthetic indices, to come up to different applicable indicators; iv) we added also some business cycle measures for comparison reason.
Ultimately, we show an application of our data, checking whether the financial cycle can influence the estimation of inflation in the euro area and what is the difference between adding a business or a financial cycle measure for the exchange rate pass-through (ERPT). We find that the ERPT can be higher in the presence of house price fluctuations at the frequency of the financial cycle. 

Classification-JEL: E32, E44, F36
Keywords: financial cycle, business cycle, European Union, OECD, HP filter, Principal Component Analysis, credit, house prices, domestic demand, real GDP, Exchange Rate Pass-Through, Dynamic Panel Data, Inflation

Length: 32 pages
Number: 9
Note:
Creation-date: 2015-11-17
Price: Free
Publication-Status: 
File-URL: https://www.lb.lt/uploads/publications/docs/op_9.pdf
File-Format: Application/PDF
File-Function: Full text
Handle: RePEc:lie:opaper: 9