Duration of Global Financial Cycles

AKDİ Y., Varlik S., BERUMENT M. H.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, cilt.549, 2020 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 549
  • Basım Tarihi: 2020
  • Doi Numarası: 10.1016/j.physa.2020.124331
  • Dergi Adı: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, Aerospace Database, Artic & Antarctic Regions, Compendex, INSPEC, Public Affairs Index, zbMATH, Civil Engineering Abstracts
  • Anahtar Kelimeler: Global Financial Cycles, Spectral analysis, Periodogram, TIME-SERIES, BUSINESS, LIQUIDITY, TRENDS
  • Ankara Üniversitesi Adresli: Evet

Özet

The duration of Global Financial Cycles (GFCs) have a role in the global financial environment which is shaped by the fluctuations in short-term capital flows, changes in monetary conditions in the center economies and co-movement in asset prices. The duration of GFCs for a set of global financial data - the VIX index, the TED spread and the 3-Month LIBOR-Effective Federal Funds Rate - are analyzed by using a periodogram-based method. Our results suggest that there is a 43-month common cycle for these three series. We obtain eight different cycle periods for 43-month common cycles from our sample period. (C) 2020 Elsevier B.V. All rights reserved.