Is there a pervasive world real credit cycle?
This paper analyses the international structure of credit and the potential buildup of a single world cycle using quarterly data for 48 economies between 1985 and 2015. For this analysis, we rely on an approximate factor model and on hard and fuzzy clustering methodologies. The results indicate that, for the whole sample, there are three common components to credit, one of these more pervasive and impacting most countries in the sample, particularly developed ones. One major cluster of countries is identified, but without the presence of both Japan and Germany, thus suggesting that a world real credit cycle is not yet formed. However, we found that the composition of this core cluster has been growing over the years, encompassing more countries and establishing a growing dominance over the credit cycles dynamic, opening the possibility for a single world credit cycle in the future.
Funding
Centre for Business and Economics Research - University of Coimbra
Fundação para a Ciência e Tecnologia
Find out more...National Funds of the Portuguese Foundation for Science and Technology (FCT) within the project UID/ECO/03182/2020 (NIPE)
History
School
- Loughborough Business School
Published in
Open Economies ReviewVolume
35Issue
1Pages
99 - 119Publisher
SpringerVersion
- VoR (Version of Record)
Rights holder
© The AuthorsPublisher statement
This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.Acceptance date
2023-04-12Publication date
2023-05-17Copyright date
2023ISSN
0923-7992eISSN
1573-708XPublisher version
Language
- en