In recent times, a large number of studies has investigated the empirical properties of financial cycles within countries, mainly based on band-pass filter techniques. The contribution of this paper to the literature is twofold. First, in contrast to most existing studies in the financial cycle...

This paper introduces parametric spectrum estimation to the analysis of financial cycles. Our contribution is to formally test properties of financial cycles and to characterize their international interaction in the frequency domain. Existing work argues that the financial cycle is considerably...