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Iacovos Ioannou

.3 Duration of downturn (average) 10.0 5.5 4.0 Amplitude of upturn (average), percent 358.1 35.4 48.2 Amplitude of downturn (average), percent −28.0 −11.9 −9.8 Slope of upturn 1 / 12.8 5.8 1.8 Slope of downturn 1 / −3.3 −1.2 −2.2 Sources: IMF staff estimates. 1 / Average growth during upturn/downturn. 24. To assess the extent of synchronization among the credit, housing price, and output cycles, we use the concordance index developed by Harding and Pagan (2002) . The concordance index is a

Iacovos Ioannou
Lithuania’s current credit cycle highlights the strong link between housing prices and credit. We explore this relationship in more detail by analyzing the main features of credit, housing price, and output cycles in Baltic and Nordic countries during1995-2017. We find a high degree of synchronization between Lithuania’s credit and housing price cycles. Panel regressions show a strong correlation between a credit upturn and housing price upturn. Moreover, panel VAR suggests that shocks in housing prices, credit, and output within and outside Lithuania strongly impact Lithuania’s credit.
Mr. Serhan Cevik
This paper investigates the empirical characteristics of business cycles and the extent of cyclical comovement in the Gulf Cooperation Council (GCC) countries, using various measures of synchronization for non-hydrocarbon GDP and constituents of aggregate demand during the period 1990-2010. By applying the Christiano-Fitzgerald asymmetric band-pass filter and a mean corrected concordance index, the paper identifies the degree of non-hydrocarbon business cycle synchronization?one of the main prerequisites for countries considering to establish a monetary union. The empirical results show low and heterogeneous synchronization in non-hydrocarbon business cycles across the GCC economies, and a decline in the degree of synchronicity in the 2000s, if Kuwait is excluded from the sample, partly because of divergent fiscal policies.
Mr. Serhan Cevik

also show a low, if not negative, degree of cyclical comovement between the GCC countries. Likewise, the concordance index—an alternative measure of synchronicity—indicates diverging non-hydrocarbon business cycles over time. Another key result is that foreign impulses play a more prominent role than regional factors, as the extent of business cycle synchronization between the GCC countries and their main trading partner countries and blocks indicates a greater degree of contemporaneous correlation, on average, compared to intra-regional synchronicity. In addition to

Mr. Serhan Cevik

Cyclical Component of Real Government Investment 4. Bilateral Correlations of the Cyclical Component of Real Private Consumption 5. Bilateral Correlations of the Cyclical Component of Real Private Investment 6. Bilateral Correlations of the Cyclical Component of Real Non-Hydrocardbon Exports 7. Bilateral Correlations of the Cyclical Component of Real Imports 8. Mean Corrected Concordance Index 9. Bilateral Correlations of the Frequency-Filtered Cyclical Component of Output F igures 1. GCC: Real GDP Growth, 2000-10

Mr. Francisco d Nadal De Simone

. Because turning points signal phases of contractions and expansions, any two real GDP series would be perfectly synchronized if they were in the same phase of the cycle at all points in time. Harding and Pagan (2001a) developed a bivariate index of synchronization based on the fraction of time that the two series spend in the same phase, called the concordance index I j (a version of Pearson’s contingent coefficient). The index can be written as: I j = 1 T ∑ t = 1 T { S it S jt

Miss Estelle X Liu, Mr. Todd D. Mattina, and Mr. Tigran Poghosyan
This paper outlines an operational approach for incorporating the impact of asset price cycles in the calculation of structural fiscal balances (SFBs). The global financial crisis demonstrated that movements in asset prices can have an important fiscal impact. Failing to account for the fiscal impact of asset price cycles can encourage a pro-cyclical policy stance if temporarily high revenues are passed through into expenditures. In addition, over-estimating the SFB may lead to inadequate fiscal buffers when cyclical revenues eventually dissipate. The paper proposes an empirical approach to correct for asset prices and provides illustrative country results for selected OECD countries. We find that asset price cycles are imperfectly synchronized with the business cycle and are quantitatively significant with an average pre-crisis fiscal impact ranging from about ½ to 2 percent of GDP in the sample. For a number of countries, the pre-crisis fiscal impact of high asset prices was larger at about 4 percent of GDP.
Miss Estelle X Liu, Mr. Todd D. Mattina, and Mr. Tigran Poghosyan