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Coherence and Entropy of Credit Cycles across the Euro Area Candidate Countries
The pattern of financial cycles in the European Union has direct impacts on financial stability and economic sustainability in view of adoption of the euro. The purpose of the article is to identify the degree of coherence of credit cycles in the countries potentially seeking to adopt the euro with...
Autores principales: | , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
MDPI
2021
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8466395/ https://www.ncbi.nlm.nih.gov/pubmed/34573838 http://dx.doi.org/10.3390/e23091213 |
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author | Criste, Adina Lupu, Iulia Lupu, Radu |
author_facet | Criste, Adina Lupu, Iulia Lupu, Radu |
author_sort | Criste, Adina |
collection | PubMed |
description | The pattern of financial cycles in the European Union has direct impacts on financial stability and economic sustainability in view of adoption of the euro. The purpose of the article is to identify the degree of coherence of credit cycles in the countries potentially seeking to adopt the euro with the credit cycle inside the Eurozone. We first estimate the credit cycles in the selected countries and in the euro area (at the aggregate level) and filter the series with the Hodrick–Prescott filter for the period 1999Q1–2020Q4. Based on these values, we compute the indicators that define the credit cycle similarity and synchronicity in the selected countries and a set of entropy measures (block entropy, entropy rate, Bayesian entropy) to show the high degree of heterogeneity, noting that the manifestation of the global financial crisis has changed the credit cycle patterns in some countries. Our novel approach provides analytical tools to cope with euro adoption decisions, showing how the coherence of credit cycles can be increased among European countries and how the national macroprudential policies can be better coordinated, especially in light of changes caused by the pandemic crisis. |
format | Online Article Text |
id | pubmed-8466395 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2021 |
publisher | MDPI |
record_format | MEDLINE/PubMed |
spelling | pubmed-84663952021-09-27 Coherence and Entropy of Credit Cycles across the Euro Area Candidate Countries Criste, Adina Lupu, Iulia Lupu, Radu Entropy (Basel) Article The pattern of financial cycles in the European Union has direct impacts on financial stability and economic sustainability in view of adoption of the euro. The purpose of the article is to identify the degree of coherence of credit cycles in the countries potentially seeking to adopt the euro with the credit cycle inside the Eurozone. We first estimate the credit cycles in the selected countries and in the euro area (at the aggregate level) and filter the series with the Hodrick–Prescott filter for the period 1999Q1–2020Q4. Based on these values, we compute the indicators that define the credit cycle similarity and synchronicity in the selected countries and a set of entropy measures (block entropy, entropy rate, Bayesian entropy) to show the high degree of heterogeneity, noting that the manifestation of the global financial crisis has changed the credit cycle patterns in some countries. Our novel approach provides analytical tools to cope with euro adoption decisions, showing how the coherence of credit cycles can be increased among European countries and how the national macroprudential policies can be better coordinated, especially in light of changes caused by the pandemic crisis. MDPI 2021-09-14 /pmc/articles/PMC8466395/ /pubmed/34573838 http://dx.doi.org/10.3390/e23091213 Text en © 2021 by the authors. https://creativecommons.org/licenses/by/4.0/Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/). |
spellingShingle | Article Criste, Adina Lupu, Iulia Lupu, Radu Coherence and Entropy of Credit Cycles across the Euro Area Candidate Countries |
title | Coherence and Entropy of Credit Cycles across the Euro Area Candidate Countries |
title_full | Coherence and Entropy of Credit Cycles across the Euro Area Candidate Countries |
title_fullStr | Coherence and Entropy of Credit Cycles across the Euro Area Candidate Countries |
title_full_unstemmed | Coherence and Entropy of Credit Cycles across the Euro Area Candidate Countries |
title_short | Coherence and Entropy of Credit Cycles across the Euro Area Candidate Countries |
title_sort | coherence and entropy of credit cycles across the euro area candidate countries |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8466395/ https://www.ncbi.nlm.nih.gov/pubmed/34573838 http://dx.doi.org/10.3390/e23091213 |
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