| dc.contributor.author | Akdi, Yılmaz | |
| dc.contributor.author | Varlık, Serdar | |
| dc.contributor.author | Berument, M. Hakan | |
| dc.date.accessioned | 2021-11-01T15:05:08Z | |
| dc.date.available | 2021-11-01T15:05:08Z | |
| dc.date.issued | 2020 | |
| dc.identifier.issn | 0378-4371 | |
| dc.identifier.issn | 1873-2119 | |
| dc.identifier.uri | https://doi.org/10.1016/j.physa.2020.124331 | |
| dc.identifier.uri | https://hdl.handle.net/11491/7132 | |
| dc.description.abstract | The duration of Global Financial Cycles (GFCs) have a role in the global financial environment which is shaped by the fluctuations in short-term capital flows, changes in monetary conditions in the center economies and co-movement in asset prices. The duration of GFCs for a set of global financial data - the VIX index, the TED spread and the 3-Month LIBOR-Effective Federal Funds Rate - are analyzed by using a periodogram-based method. Our results suggest that there is a 43-month common cycle for these three series. We obtain eight different cycle periods for 43-month common cycles from our sample period. (C) 2020 Elsevier B.V. All rights reserved. | en_US |
| dc.language.iso | eng | en_US |
| dc.publisher | Elsevier | en_US |
| dc.relation.ispartof | Physica A-Statistical Mechanics And Its Applications | en_US |
| dc.rights | info:eu-repo/semantics/closedAccess | en_US |
| dc.subject | Global Financial Cycles | en_US |
| dc.subject | Spectral analysis | en_US |
| dc.subject | Periodogram | en_US |
| dc.title | Duration of Global Financial Cycles | en_US |
| dc.type | article | en_US |
| dc.department | [Belirlenecek] | en_US |
| dc.identifier.volume | 549 | en_US |
| dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| dc.department-temp | [Akdi, Yilmaz] Ankara Univ, Fac Sci, Dept Stat, TR-06100 Ankara, Turkey; [Varlik, Serdar] Hitit Univ, Dept Econ, TR-19040 Corum, Turkey; [Berument, M. Hakan] Bilkent Univ, Dept Econ, TR-06800 Ankara, Turkey | en_US |
| dc.contributor.institutionauthor | Varlık, Serdar | |
| dc.identifier.doi | 10.1016/j.physa.2020.124331 | |
| dc.description.wospublicationid | WOS:000528208500011 | en_US |
| dc.description.scopuspublicationid | 2-s2.0-85080052395 | en_US |
