Real and financial cycles: estimates using unobserved component models for the Italian economy
Guido Bulligan (),
Lorenzo Burlon (),
Davide Delle Monache () and
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Guido Bulligan: Bank of Italy
No 382, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area
In this paper we examine the empirical features of both the business and financial cycles in Italy. We employ univariate and multivariate trend-cycle decompositions based on unobserved component models. Univariate estimates highlight the different cyclical properties (persistence, duration and amplitude) of real GDP and real credit to the private sector. Multivariate estimates uncover the presence of feedback effects between the real and financial cycles. At the same time, in the most recent period (2015-2016), the multivariate approach highlights a wider output gap than that estimated by the univariate models considered in this paper.
Keywords: business cycle; financial cycle; unobserved components; model-based filters (search for similar items in EconPapers)
JEL-codes: C32 E32 E44 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec and nep-mac
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Journal Article: Real and financial cycles: estimates using unobserved component models for the Italian economy (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_382_17
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