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 and Marente Vlekke
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Marente Vlekke: Centraal Planbureau CPB, The Hague, the Netherlands

No 16-029/III, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: 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.

Keywords: unobserved components time series model; Kalman filter; maximum likelihood estimation; band-pass filter; medium-term cycles (search for similar items in EconPapers)
JEL-codes: C22 C32 E30 E50 E51 G01 (search for similar items in EconPapers)
Date: 2016-04-22
New Economics Papers: this item is included in nep-ban, nep-bec, nep-mac and nep-pke
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (76)

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Journal Article: Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20160029

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