Overview

In order to understand the dynamics between economic cycles and financial cycles, it is necessary to characterize both cycles and their relationship. The results obtained in this study suggest that, over time, economic cycles have become increasingly shorter, with average durations tending towards the average durations of financial cycles (which are typically shorter). On average, for both series, the expansion phases are longer than the contraction phases, but the difference in duration between the different phases has narrowed significantly in the 2000s. Until the financial crisis of 2007, the amplitude of economic cycles was positive, while financial cycles have had negative amplitudes since the dot-com bubble crisis of 2000. For both series, the costs of the contraction phases increased until the early 2000s and the gains from the expansion phases decreased in the 2000s. In addition, there are signs that the two series co-move. Analysis of the concordance index suggests that the relationship between the PSI 20 and GDP series is systematic, that the degree of synchrony of the cycles has been intensifying, and that financial cycles are procyclical.

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