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

Economics Letters, 2016, vol. 145, issue C, 83-87

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 1970–2014. We find that financial cycles can parsimoniously be estimated by house prices and total credit or the credit-to-GDP ratio. We show that these medium-term cycles are longer and have larger amplitudes than business cycles, and that their length and amplitude vary over time and across countries.

Keywords: Unobserved component 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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (86)

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Working Paper: 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:eee:ecolet:v:145:y:2016:i:c:p:83-87

DOI: 10.1016/j.econlet.2016.05.034

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