WIIW The Vienna Institute for International Economic Studies - Wiener Institut für Internationale Wirtschaftsvergleiche

Financial Cycles Database

Financial market activity is prone to recurrent boom-bust cycles. We estimate these financial cycles in national credit, housing and capital markets, as well as the level of national financial systems and the global level, and report the estimates in an open-access database. The database contains financial cycle indexes estimated for the global sample of 34 countries over the period 1960-2015 in the paper Adarov, Amat (2018) "Financial Cycles Around the World", wiiw Working Paper No. 145, March 2018.

The database contains estimates of segment-specific financial cycles for credit, housing, debt securities and equity markets, as well as aggregate national and global financial cycles. Besides quarterly and annual datasets, the file includes a description of the database (“readme” sheet) and country sample information (“sample” sheet). The reported financial cycles correspond to the "baseline" version of financial cycles, detrended and standardized, as discussed in detail in the papers outlined above. Financial cycle indexes are reported by country ISO3 code in alphabetic order and organized for each country as follows: CR, H, B, EQ, AG, denoting, correspondingly, credit, housing, bond, equity markets and aggregate financial cycles. In addition, the global financial cycle estimates are reported as the last series in the quarterly and annual datasets (denoted GLOBAL). Smoothed and unsmoothed versions of financial cycles are reported (flagged by the HP smoothing applied row).

Licensing

This dataset is licensed under a Creative Commons Attribution 4.0 International license (CC BY 4.0) https://creativecommons.org/licenses/by/4.0/

When using the dataset please cite either of the following papers:

Adarov, Amat (2018) "Financial Cycles Around the World", wiiw Working Paper No. 145, March, 2018

Adarov, Amat (2018) "Estimation of Aggregate and Segment-specific Financial Cycles for a Global Sample of Countries", wiiw Statistical Report No. 7, April 2018

Contact

Amat Adarov

Research Areas: Macroeconomic Analysis and Policy

Keywords: financial cycles, global and regional financial cycles, asset bubbles, housing prices, equity, debt securities, credit, capital markets, Kalman filter, factor models

JEL classification: F30, E44, G15

Countries covered: Australia, Austria, Belgium, Brazil, Canada, Chile, China, Czechia, Estonia, Finland, France, Germany, Hungary, Indonesia, Italy, Japan, Latvia, Lithuania, Malaysia, Mexico, Netherlands, Norway, Philippines, Poland, Russia, Singapore, Slovakia, South Korea, Spain, Sweden, Switzerland, Thailand, United Kindom, USA