Financial cycles in the economy and in economic research: a case study in China
Abstract
This work explores the relationship between financial cycles in the economy and in economic research. To this aim, we take China as an empirical example, and an intuitive bibliometric analysis of selected terms concerning financial cycles in economic research is performed first. Both in the economy and in economic research, we then conduct singular spectrum analysis to further isolate and describe the specific length and amplitude of financial cycles for China based on quarterly time-series data. Finally, according to the estimated cycles that detrended by Hodrick-Prescott filter for financial and bibliometric variables, the Granger causality test scrutinizes the results of the first two steps. Moreover, a time-varying parameter vector autoregression model is estimated to quantitatively investigate the time-varying interaction between financial and bibliometric variables. Our study shows that financial cycles have a strong effect on the developments in the financial-related literature. In particular, the 2008 global financial crisis’s impulse intensity is significantly higher than in other periods. Surprisingly, discussions on financial cycles in the literature also have an impact on financial activities in real life. These findings contribute to nascent work on the patterns in financial cycles, thus providing a new and effective insight on the interpretation of financial activities.
Keyword : financial cycles, bibliometric analysis, singular spectrum analysis, Granger causality test, TVP-VAR model
How to Cite
Qin, Y., Xu, Z., Wang, X., Škare, M., & Porada-Rochoń, M. (2021). Financial cycles in the economy and in economic research: a case study in China. Technological and Economic Development of Economy, 27(5), 1250-1279. https://doi.org/10.3846/tede.2021.15439
This work is licensed under a Creative Commons Attribution 4.0 International License.
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Fidrmuc, J., & Korhonen, I. (2010). The impact of the global financial crisis on business cycles in Asian emerging economies. Journal of Asian Economics, 21(3), 293–303. https://doi.org/10.1016/j.asieco.2009.07.007
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Geiger, N., & Kufenko, V. (2016). Business cycles in the economy and in economics: an econometric analysis. Scientometrics, 107(1), 43–69. https://doi.org/10.1007/s11192-016-1866-9
Geweke, J. F. (1991). Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments (Staff Report 148). Federal Reserve Bank of Minneapolis. https://ideas.repec.org/p/fip/fedmsr/148.html
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Granger, C. (1980). Testing for causality: A personal viewpoint. Journal of Economic Dynamics and Control, 2, 329–352. https://doi.org/10.1016/0165-1889(80)90069-X
Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424–438. https://doi.org/10.2307/1912791
Groth, A., & Ghil, M. (2015). Monte Carlo Singular Spectrum Analysis (SSA) revisited: Detecting oscillator clusters in multivariate datasets. Journal of Climate, 28(19), 7873–7893. https://doi.org/10.1175/JCLI-D-15-0100.1
Hodrick, R. J., & Prescott, E. C. (1997). Postwar U.S. business cycles: An empirical investigation. Journal of Money, Credit and Banking, 29(1), 1–16.
Iacobucci, A. (2005). Spectral analysis for economic time series. Lecture Notes in Economics & Mathematical Systems, 551, 203–219. https://doi.org/10.1007/3-540-28444-3_12
Inekwe, J. N., & Valenzuela, M. R. (2020). Financial integration and banking crisis. A critical analysis of restrictions on capital flows. World Economy, 43(2), 506–527. https://doi.org/10.1111/twec.12855
Jetter, M., & Kristoffersen, I. (2018). Financial shocks and the erosion of interpersonal trust: Evidence from longitudinal data. Journal of Economic Psychology, 67, 162–176. https://doi.org/10.1016/j.joep.2018.07.001
Jordà, Ò., Schularick, M., & Taylor, A. M. (2013). When credit bites back. Journal of Money, Credit and Banking, 45(s2), 3–28. https://doi.org/10.1111/jmcb.12069
Juselius, M., Borio, C., Disyatat, P., & Drehmann, M. (2016). Monetary policy, the financial cycle, and ultra-low interest rates. International Journal of Central Banking, 13, 55–89.
Lee, C.-C., Chen, M.-P., & Ning, S.-L. (2017). Why did some firms perform better in the global financial crisis? Economic Research-Ekonomska Istrazivanja, 30(1), 1339–1366. https://doi.org/10.1080/1331677X.2017.1355258
Martínez-García, E., & Grossman, V. (2020). Explosive dynamics in house prices? An exploration of financial market spillovers in housing markets around the world. Journal of International Money and Finance, 101, 102103. https://doi.org/10.1016/j.jimonfin.2019.102103
Mizen, P., & Tsoukas, S. (2012). The response of the external finance premium in Asian corporate bond markets to financial characteristics, financial constraints and two financial crises. Journal of Banking & Finance, 36(11), 3048–3059. https://doi.org/10.1016/j.jbankfin.2012.07.005
Morana, C. (2017). The U.S. dollar/Euro exchange rate: Structural modeling and forecasting during the recent financial crises. Journal of Forecasting, 36(8), 919–935. https://doi.org/10.1002/for.2430
Mourao, P. R., & Martinho, V. D. (2020). Forest entrepreneurship: A bibliometric analysis and a discussion about the co-authorship networks of an emerging scientific field. Journal of Cleaner Production, 256, 120413. https://doi.org/10.1016/j.jclepro.2020.120413
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Ouyang, A. Y., & Guo, S. (2019). Macro-prudential policies, the global financial cycle and the real exchange rate. Journal of International Money and Finance, 96, 147–167. https://doi.org/10.1016/j.jimonfin.2019.05.009
Ozili, P. K. (2018). Impact of digital finance on financial inclusion and stability. Borsa Istanbul Review, 18(4), 329–340. https://doi.org/10.1016/j.bir.2017.12.003
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