Measurement of Vietnamese financial cycles: An application of Spectral Analysis

Abstract

The article proposes measuring the financial cycles of Vietnam using the spectral analysis method.
This method determines financial cycle dynamics based on the simultaneous fluctuations of financial
indicators, allowing its frequency and magnitude to vary over time, as opposed to remaining fixed as in
traditional methods. The results indicate that Vietnam’s financial cycles from 2010Q1 to 2023Q3 exhibit
significant volatility, with both frequency and amplitude of fluctuations increasing over time. The expansion
and contraction phases of financial cycles are closely linked to economic fluctuations. Within the financial
cycle components, the credit cycle has a lower frequency compared to the bond and stock market cycles, yet
it significantly influences the overall financial cycle’s dynamics.