Measuring financial cycles in a model-based analysis : empirical evidence for the United States and the euro area

Gabriele Galati, Irma Hindrayanto, Siem Jan Koopman, Marente Vlekke

We adopt an unobserved components time series model to extract financial cycles for the United States and the five largest euro area countries over the period 1970 to 2014. We find that credit, the credit-to-GDP ratio and house prices have medium-term cycles which share a few common statistical properties. We show that financial cycles are longer and more ample than business cycles, and that their length and amplitude vary over time and across countries.

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Year of publication:	2016
Authors:	Galati, Gabriele ; Hindrayanto, Irma ; Koopman, Siem Jan ; Vlekke, Marente
Publisher:	Amsterdam : Tinbergen Institute
Subject:	unobserved components time series model \| Kalman filter \| maximum likelihood estimation \| band-pass filter \| medium-term cycles \| Zeitreihenanalyse \| Time series analysis \| Zustandsraummodell \| State space model \| USA \| United States \| Konjunktur \| Business cycle \| Eurozone \| Euro area \| Schätzung \| Estimation \| Maximum-Likelihood-Schätzung \| Maximum likelihood estimation \| EU-Staaten \| EU countries \| Theorie \| Theory

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Extent:	1 Online-Ressource (circa 10 Seiten) Illustrationen
Series:	Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. TI 2016-029
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	hdl:10419/145336 [Handle]
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models ; E30 - Prices, Business Fluctuations, and Cycles. General ; E50 - Monetary Policy, Central Banking and the Supply of Money and Credit. General ; E51 - Money Supply; Credit; Money Multipliers ; G01 - Financial Crises
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011456728