Title: Financial cycles in the euro area: A wavelet analysis
Authors: Michael Scharnagl - Deutsche Bundesbank (Germany) [presenting]
Martin Mandler - Deutsche Bundesbank (Germany)
Abstract: The aim is to study the relationship of loans to non-financial corporations, loans to households, house prices and equity prices between countries or within countries for nine euro area countries. Wavelet analysis allows to account for variations in these relationships both over time and across frequencies. We find evidence of strong co-movements between the growth rates in loans to non-financial corporations over the sample from 1980 to 2015 for all nine countries. For loans to private households the co-movement increases with the start of EMU. The cycle length is in general shorter than claimed by the BIS. Equity prices co-move at various frequencies. The degree of synchronization is in general higher for specific series across the EMU countries than across financial series within specific countries.