Tytuł pozycji:
Empirical Properties of the Credit and Equity Cycle within Almost Periodically Correlated Stochastic Processes - the Case of Poland, UK and USA
We discuss the notion of the financial cycle making a clear indication that the
thorough study of its empirical properties in case of developing economies is still
missing. We focus on the observed series of credit and equity and make formal
statistical inference about the properties of the cycles in case of Polish economy.
The non-standard subsampling procedure and discrete spectral characteristics of
almost periodically correlated time series are applied to make formal statistical
inference about the cycle. We compare the results with those obtained for UK
and USA. We extract the cyclical component and confront empirical properties
of the financial cycle for small open economy with those established so far in
case of developed economies.