Vol. 13 No. 26 (2018)

Artículos

Mechanisms of transmission of the macroeconomic conditions of the credit market

Published 2025-12-07

  • Reyna Susana García Ruiz
    • ,
  • Francisco López-Herrera
    • ,
  • Salvador Cruz Aké

Reyna Susana García Ruiz
Facultad de Contaduría y Administración, Universidad Nacional Autónoma de México

Francisco López-Herrera
Facultad de Contaduría y Administración, Universidad Nacional Autónoma de México

Salvador Cruz Aké
Sección de Posgrado e Investigación, Escuela Superior de Economía, Instituto Politécnico Nacional

Abstract

In this paper, we provide empirical evidence on the existence of the Kitchin and Juglar cycles in Mexico during the years 2000 through 2015 by a combination of econometric (Toda-Yamamoto causality and cointegration) and phenomenological (frequency synchronization) techniques. The paper provides empirical evidence on short-term cycles of 3.5 years that are driven by the exchange rate and 11-year long cycles driven by gross capital formation and delinquency. Also, the sequence of short and long-term economic cycles for a combination of real (industrial activity, private consumption, gross capital formation, business and gross domestic product), monetary (exchange rate, interbank interest rate, and inflation) and banking (delinquency, current and past due credits) variables.

Keywords

Economic cycles, credit cycles, frequency coupling

PDF (Spanish)

References

  1. Aiyar, S. (2012). "From financial crisis to great recession: The role of globalized banks". The American Economic Review, 102(3), pp. 225-230.
  2. Aloui, C.; B. Hkiri & D. K., Nguyen (2016). "Real growth co-movements and business cycle synchronization in the GCC countries: Evidence from time-frequency analysis". Economic Modelling, 52(Part B), pp. 322-331.
  3. Arkady, P., M. Rosenblum & J. Kurths (2001). Synchronization, A universal concept in nonlinear sciences. United States of America: Cambridge University Press, pp. 160-199.
  4. Austin, M. M. y P. Vidal-Naquet (1980). Economic and social history of ancient Greece: an introduction. 2 ed. Berkely, USA: Univ of California Press, pp. 210-235.
  5. Barro, R. J. (1989). Modern Business Cycle Theory. 5.1. Harvard University Press, pp. 92-145.
  6. Borio, C. (2014). "The financial cycle and macroeconomics: What have we learnt?". Journal of Banking & Finance 45 (2014): 182-198., 45(August), pp. 182-198.
  7. Conklin, J. (1998). "The Theory of Sovering Debt and Spain under Philip II". Journal of Political Economу, 106(3), pp. 483-513.
  8. Cox, D. R. (1972). "Regression Models and Life Tables", Journal of the Royal Statistical Society, 34(1), pp. 187-220.
  9. Davidson, R. A. J. G. M. (2004). Econometric theory and methods. Ed. New York, USA: Oxford University Press, pp. 170-210.
  10. Drelichman, M. A. H. V. (2011). Lending to the Borrower from Hell: Debt and Default in the Age of Philip II. The Economic Journal, 121(557), pp. 1205-1227.
  11. Figlewski, S.; H. Frydman & W. Liang (2012). "Modeling the effect of macroeconomic factors on corporate default and credit rating transitions". International Review of Economics & Finance, 21(1), pp. 87-105.
  12. Galbraith, J. K. (1994). A short history of financial euphoria, Ed. New York, USA: Penguin, pp. 219-255.
  13. Harris, E. M. (2002). "Did Solon abolish debt-bondage?". The Classical Quarterly (New Series), 52(02), pp. 415-430.
  14. Hayashi, F. (2000). Econometrics, 2000. Ed. Princeton, USA: Princeton University Press, pp. 190-240.
  15. He. D. y W. Liao (2012). "Asian business cycle synchronization". Pacific Economic Review, 17(1), pp. 106-135.
  16. Hicks, J. R. (1950). A Contribution to the Theory of the Trade Cycle. s.l.: Oxford: Clarendon Press, pp. 113-172.
  17. Homer, 5. & R. E. Sylla (1996). A history of interest rates. 3er, ed. New Brunswick, New Jersey, USA: Rutgers University Press, pp. 210-243.
  18. Johansen, S. (1988). "Statistical analysis of cointegration vectors". Journal of economic dynamics and control, 12(2), pp. 231-254.
  19. Johansen, S. (2008). "A representation theory for a class of vector autoregressive models for fractional processes". Econometric Theory, 24(03), pp. 651-676.
  20. Johansen, S. & K. Juselius (1990). "Maximum likelihood estimation and inference on cointegration with applications to the demand for money". Oxford Bulletin of Economics and statistics 52.2 (1990), pp. 169-210.
  21. Johansen, S. & M. O. Nielsen (2010). "Likelihood inference for a nonstationary fractional autoregressive model", Journal of Econometrics, 158(1), pp. 51-66.
  22. Johansen, S. & M. O. Nielsen (2012). "Likelihood inference for a fractionally cointegrated vector autoregressive model". Econometrica, 80(6), pp. 2667-2732.
  23. Jordà, O, M. Schularick; & A. M. Taylor (2016), "Sovereigns versus banks credit, crises and consequences", Journal of the European Economic Association, 14(1), pp. 45-79.
  24. Juglar C. (1862). Des crises commerciales en leur retour périodique en France, en Angleterre et aux Etats-Unis. Paris, Francia: Libraire Gillaumin, et Cie, pp. 215-320.
  25. Keynes, J. M. (1936). The General Theory of Employment, Interest, and Money, s. 1.: Palgrave Macmillan, pp. 130-180.
  26. Kindleberger, C. P. (2015). A financial history of Western Europe. Routledge, 2015. 2nd ed. Oxxon, UK: Routledge, pp. 146-189.
  27. Kitchin, J. (1923). "Cycles and trends in economic factors". The Review of economic statistics (1923): 5(1), pp. 10-16.
  28. Kondratieff, N. y W. F. Stolper (1935). "The Long Waves in Economic Life". The Review of Economics and Statistics, 17(6), pp. 105-115.
  29. Kuznets, S. (1930), Secular movements in production and prices: their nature and their hearing upon cyclical fluctuations. Boston, USa: Houghton Mifflin, pp. 111-152.
  30. Lee, J. (2013). "Business cycle synchronization in Europe: evidence from a dynamic factor model". International Economic Journal, 27(3), pp. 347-364.
  31. MacKinnon, J. G., A. A. Haug y L. Michelis (1999). "Numerical distribution functions of likelihood ratio tests for cointegration". Journal of applied Econometrics, 14(5), pp. 563-577.
  32. Maloney, R. P. (1974). "Usury and restrictions on interest-taking in the Ancient Near East". The Catholic Biblical Quarterly (1974), 9(4), pp. 1-20.
  33. Marx, K. (1894). El capital, vol 111. Trad. Vicente Romano García, Akal, 1977. Ed. Berlín: Siglo veintiuno editores.
  34. Minsky, H. P. (1974). "The modeling of financial instability: An introduction. Modelling and Simulation, 5(1), pp. 267.272.
  35. Minsky, H. P. (1986). The evolution of financial institutions and the performance of the economy", Journal of Economic Issues, 20(2), pp. 345-353.
  36. Schumpeter, J. (1939), Cycles. A Theoretical, Historical and Statistical Analysis of the Capitalist Process, s.1: McGraw-Hill Book Company, pp. 156-190.
  37. Toda, H. Y. y T. Yamamoto (1995). "Statistical inference in vector autoregressions with possibly integrated processes", Journal of econometrics, 66(1), pp. 225-250.
  38. Yurdakul, F. (2014). "Macroeconomic modelling of credit risk for banks". Procedia-Social and behavioral sciences, 109(8), pp. 784-793.

Most read articles by the same author(s)