Norges Bank

Staff Memo

Relationships between nominal GDP and financial variables in OECD countries

Jon Ellingsen
Staff Memo


I look at the short-term relationship between nominal GDP and credit and nominal GDP and house prices in 20 OECD countries. In the recent years central banks have become increasingly concerned with financial stability. These concerns sometimes lead to trade-offs for monetary policy. One important policy question is how the variables related to financial stability is related to different macroeconomic aggregates followed by the central bank. I find considerable similarities in the short-term relationship between the variables across the countries in the data set. The cross correlations are notably large, and there are relatively stable lead/lag structures across most countries. I also develop a synchronization indicator which shows that the variables tend to follow the same growth cycles.

Staff Memos present reports and documentation written by staff members and affiliates of Norges Bank, the central bank of Norway. Views and conclusions expressed in Staff Memos should not be taken to represent the views of Norges Bank.

ISSN 1504-2596 (online)

Published 25 April 2017 13:25
Published 25 April 2017 13:25