» New evidence on the synchronization between the US business and financial cycles
12 Nov 2019
New evidence on the synchronization between the US business and financial cycles

11:00Seminar Room, IPAG Research Department, 188 Rue de Rivoli, 75001 Paris


IPAG Research Department


The aim of this paper is to investigate the synchronization of US financial (FC) and business cycles (BC) via Cross-Recurrence Quantification Analysis (CRQA). Both cycles are extracted using recent Markov switching techniques, where turning points are identified based on the estimated smoothed probabilities of the models. In the effort to explore dynamic changes occurred in the financial world, we also report results from the sub-couples between business cycle and the single financial cycle components. Besides the combined methodological approach we propose, the contribution of the paper relies upon the use of smoothed probabilities as input variables for the estimation of the cross-RQA measures. The empirical findings on long US data indicate a leading behavior of BC during the Great Moderation era until the end of the 90s and a progressive leading of the FC evolution over the BC in the aftermath of deregulation. The implementation of the cross-Recurrence Rate shows the presence of diverse state of co-visitation between the triplet of credit, S&P500 and residential property and the BC. Worth noticing the similarity of the cross-Recurrence Rate for the couples of BC-FC and BC-S&P500.



Catherine Kyrtsou is Professor of MacroFinance at the University of Macedonia, Department of Economics, in Greece and Deputy Director of CAC at the ΙΧΧΙ Institut Rhône-Alpin des Systèmes Complexes in Lyon. She is visiting Professor at the Hellenic Open University, the International Hellenic University and the University of Montpellier I, Associate Researcher at the University of Strasbourg and University of Paris 10, Associate Member of the Institut des Systèmes Complexes de Paris, Ile-de-France, Member of the Euro Area Business Cycle Network, the Society for Economic Measurement and the Cliometric Society. Former Scientific Expert in asset management at the University of Luxembourg, she has recently joined the Complex Systems and Applications group (COSA) of the National Centre of Scientific Sciences “Demokritos” in Athens. She holds degrees from the University of Macedonia (B.A in Economics in 1995), and the University of Montpellier I (DEA in 1997 and Doctorat in Economics in 2002). In addition, she acts as expert evaluator for the US National Science Foundation and the European Commission, serves as book reviewer for the Routledge Economics list, while she is involved in co-funded European Union projects.

Professor Kyrtsou was named on the list of 2000 Outstanding Intellectuals of the 21st Century, and included in the Who’s Who in Science and Engineering (2008, 2011-2012), Who’s Who in the World (2008, 2009), Who’s Who of the Complex Systems Society (2010-2016). She is granted the “Excellence in Peer Review” award from the journal Chaos, Solitons and Fractals. She is member of the Editorial Board of Annals of Financial Economics and Journal of Behavioural and Experimental Finance, Associate Editor of Brussels Economic Review, European Journal of Finance, International Review of Financial Analysis and Journal of Economic Asymmetries as well as Guest Associate Editor of the International Journal of Bifurcation and Chaos.