IMF Working Papers

Financial and Business Cycles: Shall We Dance?: An Application to Kazakhstan

By Gregorio Impavido

August 23, 2024

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Format: Chicago

Gregorio Impavido. "Financial and Business Cycles: Shall We Dance?: An Application to Kazakhstan", IMF Working Papers 2024, 182 (2024), accessed December 21, 2024, https://doi.org/10.5089/9798400288883.001

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Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary

This paper examines the role of financial cycle proxies in refining available estimates of the business cycle in Kazakhstan. It contributes to the existing literature by introducing a formal test for the stability of the mean of exogenous variables in the estimation set up, and by developing a self-contained statistical package to streamline the whole estimation process. The empirical strategy is designed to be parsimonious, aiming to avoid the pitfalls associated with overly complex models while achieving comparable results. Results have implications for the extent with which the authorities should manage the business and financial cycles, with which policies, for macroprudential policy calibration, and for the usefulness for policymaking of endsample estimates of the cycle.

Subject: Business cycles, Credit, Economic growth, Financial cycles, Financial sector policy and analysis, Housing prices, Inflation, Money, Prices

Keywords: B. select literature survey, Business cycle, Business cycles, Credit, Cumulative sum test, Estimation process, Estimation strategy, Financial cycle, Financial cycles, Global, House price inflation, Housing prices, HP business cycle estimate, HP filter, Inflation, Multivariate filter

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