Financial Cycles in Euro Area Economies: A Cross‐Country Perspective Using Wavelet Analysis*
利用小波分析研究六个欧元区国家金融周期的跨国维度，发现股票价格和利率的周期同步性高于实际产出，而信贷和房价的同步性较低。
Abstract We study the cross‐country dimension of financial cycles for six euro area countries using wavelet analysis. Estimated wavelet cohesions show that cycles in equity prices and interest rates display stronger synchronization across countries than real output cycles, whereas credit variables and house prices show lower cross‐country synchronization. We propose a wavelet‐based extension to the spectral envelope that is similar to a frequency‐based time‐varying principal component analysis. The country loadings show that, contrary to all other variables, cycles in loans to households and house prices in Germany and the Netherlands are negatively or less strongly correlated with the common cycles.