Abstract
ABSTRACTThis paper identifies a financial cycle for New Zealand over the period 1968–2017 using spectral analysis and band-pass filter methods. We report the main characteristics of the financial cycle and examine the extent to which it is synchronised with the business cycle in New Zealand and the financial cycle in the United States. Our results suggest that the median length of the financial cycle in New Zealand is 8 years, and its duration has increased substantially (from 4.75 to 9.75 years) following the economic reforms of the mid-eighties. There appears to be a strong relationship between financial cycle contractions and real economic outcomes, with 83% of financial cycle contractions preceding a recession by a median of 2.5 years. We also find a strong degree of synchronicity between the New Zealand and US financial cycles.
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