Duration of Global Financial Cycles

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dc.contributor.authorAkdi, Yılmaz
dc.contributor.authorVarlık, Serdar
dc.contributor.authorBerument, M. Hakan
dc.date.accessioned2021-11-01T15:05:08Z
dc.date.available2021-11-01T15:05:08Z
dc.date.issued2020
dc.department[Belirlenecek]
dc.description.abstractThe 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.
dc.identifier.doi10.1016/j.physa.2020.124331
dc.identifier.issn0378-4371
dc.identifier.issn1873-2119
dc.identifier.scopus2-s2.0-85080052395
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1016/j.physa.2020.124331
dc.identifier.urihttps://hdl.handle.net/11491/7132
dc.identifier.volume549en_US
dc.identifier.wosWOS:000528208500011
dc.identifier.wosqualityQ2
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorVarlık, Serdar
dc.language.isoen
dc.publisherElsevier
dc.relation.ispartofPhysica A-Statistical Mechanics And Its Applications
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectGlobal Financial Cyclesen_US
dc.subjectSpectral analysisen_US
dc.subjectPeriodogramen_US
dc.titleDuration of Global Financial Cycles
dc.typeArticle

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