(WP28/2017) Extracting and Measuring Periodicities of Credit and Housing Cycles: Evidence from Eight Economies

Publication Date : December 2017Author : Victor Pontines : : Total Downloads : 21


This paper employs the Empirical Mode Decomposition technique to extract the credit and housing cycles in the four emerging East Asian economies of Hong Kong, Korea, Malaysia and Thailand, and these are compared to four advanced economies of Germany, Japan, United Kingdom and the United States. Based on a Lomb-Scargle periodogram analysis, the study finds that, with the exception of the credit cycle in Korea, the periodicities of the credit and housing cycles of the East Asian emerging economies are either close to or below the stylized cut-off of eight years. On the other hand, the credit and housing cycles of the four advanced economies have periodicities that are longer than eight years, in line with recent evidence. 

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