Cyclicality in Lending Activity of Euro Area in pre- and post- 2008 Crisis: A Local-Adaptive-Based Testing of Wavelets

Cyclicality in Lending Activity of Euro Area in pre- and post- 2008 Crisis: A Local-Adaptive-Based Testing of Wavelets

WoS Article

The paper deals with the identification of time-frequency regions describing cyclicality of bank loans before, during and after the 2008 crisis via wavelets. We bring new methods and findings about the short and medium cycles of loans provided to corporates and households in the Euro Area in 2000–2017 using seasonally unadjusted monthly data. We have recognised an impact of the crisis on data volatility which further influences the type of significance testing of wavelet spectrograms. To avoid this influence we propose: 1) an adaptive spectrogram testing based on Torrence and Compo approach and 2) robustness analysis via enhanced spectrogram modelling tested by the MC simulations. Both cross-checked approaches prove the sensitivity of standard wavelet tests on data volatility. The results confirm the usability of the new approaches and show that the crisis in 2008 influenced the cyclical behaviour of both categories of economic sectors, but in a different way.

The paper deals with the identification of time-frequency regions describing cyclicality of bank loans before, during and after the 2008 crisis via wavelets. We bring new methods and findings about the short and medium cycles of loans provided to corporates and households in the Euro Area in 2000–2017 using seasonally unadjusted monthly data. We have recognised an impact of the crisis on data volatility which further influences the type of significance testing of wavelet spectrograms. To avoid this influence we propose: 1) an adaptive spectrogram testing based on Torrence and Compo approach and 2) robustness analysis via enhanced spectrogram modelling tested by the MC simulations. Both cross-checked approaches prove the sensitivity of standard wavelet tests on data volatility. The results confirm the usability of the new approaches and show that the crisis in 2008 influenced the cyclical behaviour of both categories of economic sectors, but in a different way.

wavelets, spectrogram significant testing, local-adaptive-based testing, enhanced spectrogram

wavelets, spectrogram significant testing, local-adaptive-based testing, enhanced spectrogram

POMĚNKOVÁ, J.; KLEJMOVÁ, E.; KUČEROVÁ, Z.

2019

26.03.2019

Taylor & Francis Group

1406-099X

Baltic Journal of Economics

19

1

Republic of Latvia

155

175

20

http://dx.doi.org/10.1080/1406099X.2019.1596466