Własności empiryczne cyklu finansowego - analiza porównawcza Czech, Polski, Węgier, Wielkiej Brytanii i USA

• Autorzy: Łukasz Lenart , Mateusz Pipień

Warianty tytułu

Empirical Properties of the Financial Cycle - Comparative Analysis for Czech Republic, Great Britain, Hungary, Poland and USA

• Języki publikacji: PL

Abstrakty

Podjęte w opracowaniu zagadnienie cykliczności w systemie finansowym jest nową odsłoną klasycznych, bo rozważanych od ponad 160-ciu lat, badań nad cykliczną naturą zjawisk w ekonomii. Celem badań było wypracowanie metod wnioskowania statystycznego w celu określenia cech cyklu finansowego i w szczególności kredytowego. W pracy zaproponowano nieparametryczny test, umożliwiający wnioskowanie o statystycznie istotnych częstościach dyskretnego spektrum procesu opisującego cykliczne fluktuacje. Uzyskane rezultaty empiryczne pozwalają stwierdzić, że cechy cyklu kredytowego dla Polski mają charakter swoisty i znacznie różnią się od tych otrzymanych dla rozwiniętych gospodarek. Cykl kredytowy trwa w przypadku Polski około dekady i jest podobny do cyklu uzyskanego w przypadku Czech, trwającego 12 lat. (abstrakt oryginalny)

EN

We discuss the notion of the financial cycle indicating its novelty within the research project of analysing the cyclical nature of fluctuations of economic systems. We focus on the observed series of credit and make formal statistical inference about the properties of the cycles in case of five countries, namely Czech Republic, Great Britain, Hungary, Poland and USA. The non-standard subsampling procedure and discrete spectral characteristics of almost periodically correlated time series are applied to make formal statistical inference about the cycle. We extract the cyclical component and confront empirical properties of the financial cycle for small open economy with those established so far in case of developed economies. (original abstract)

Słowa kluczowe

PL

Wahania sezonowe w gospodarce; Badania porównawcze; System finansowy; Cykle finansowe; Cykl kredytowy; Mała gospodarka otwarta

EN

Seasonal fluctuations in the economy; Comparative examination; Financial system; Financial cycles; Credit cycle; Small open economy

• Czasopismo: Folia Oeconomica Cracoviensia
• Rocznik: 2015
• Tom: 56
• Strony: 81--112

Twórcy

autor

Łukasz Lenart

• Uniwersytet Ekonomiczny w Krakowie

autor

Mateusz Pipień

• Uniwersytet Ekonomiczny w Krakowie

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