Rate Cycles
First published: 2024
Brief summary
Systematic empirical framework identifying easing and tightening phases for interest rates across a large set of countries from 1970-2024, finding tightening phases (47 months) are on average much shorter than easing phases (79 months).
Article
Rate Cycles is a peer-reviewed conference paper published by European Central Bank (Sintra Forum paper) in 2024. It focuses on systematic empirical framework identifying easing and tightening phases for interest rates across a large set of countries from 1970-2024, finding tightening phases (47 months) are on average much shorter than easing phases (79 months).
Phase durations: tightening 47 months (average), easing 79 months (average). The data source is global panel of interest rate data 1970-2024, analysed across five sub-periods. This gives the cycle claim a specific numerical and evidential setting rather than presenting periodicity only as a visual impression.
The article reports the following result: Over the full period (1970-2024), tightening phases are much shorter than easing phases on average (47 vs 79 months), with rate cycles further examined across five sub-periods each marking major global economic events. The interpretation is strongest when inflation regimes, monetary-policy changes, non-stationarity and out-of-sample performance are considered.
For cycles researchers, the article brings together interest rate cycles, monetary tightening, monetary easing, global rates. It is relevant to interest-rate cycle research because yield movements combine policy regimes, inflation dynamics, business cycles and long-frequency components.
Because it is a peer-reviewed conference paper, the article is a strong starting point for discussion in the Interest Rates forum, although its conclusions should still be compared with later replications and updated datasets.
Source details and credits
- Source / publisher: European Central Bank (Sintra Forum paper)
- Source type: Peer-reviewed conference paper
- URL type: PDF
- Credits: European Central Bank (Sintra Forum paper)
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