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Vztah mezi zadlužeností domácností a hospodářským cyklem ve vybraných evropských zemích
Oleinik, Aleksandr
The aim of the work is to identify the relationship between household in-debtedness and the economic cycle in selected countries. In the empirical part, the analysis of the period 1996Q1-2022Q4 is carried out, based on data obtained from the BIS (Bank for International Stettlements) and Eurostat. The selection of countries was carried out with the help of work C. Gräb-ner, P. Heimberg, J. Kapeller and B. Schütze, 2019, where the EU states are divided into 4 economic groups. The following were selected: Core (Germany, Belgium), economies with a significant financial sector (Luxembourg, Netherlands), periph-ery (Italy, France), catch-up economies (Poland, Czech Republic). Two crises occurred in the reporting period, financial (2008) and pandem-ic COVID-19 (2020), so the time series was additionally divided into two sections 1996Q1-2007Q4 and 2008Q1-2019Q4, in order to verify the impact of the 2008 crisis on the relationship between debt and the economic cycle. Correlation and vector autoregression with the extension of Granger causality were used for the analysis . It was found that at time t there is a very weak correlation between the economic cycle and household indebtedness . Granger causality shows that the relationship in most states is endogenous, i.e. household indebtedness and the economic cycle interact, but in some states one-sided Granger causality has been identified. In the case of Germany, household indebtedness is a leading indicator of the economic cycle in all the periods examined, whereas in Italy household in-debtedness is a leading indicator only for the whole period). Luxembourg was the only country where no Granger causality was found.
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