Housing and Credit Cycles in Ireland

Farah Mugrabi () and Gerhard Rünstler
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Gerhard Rünstler: European Central Bank

No 16/RT/25, Research Technical Papers from Central Bank of Ireland

Abstract: We apply the multivariate unobserved components model of Rünstler and Vlekke (2018) to jointly estimate the cyclical and trend components of output, credit, and residential property prices in Ireland. We find that credit and house price cycles are subject to an average duration of about 15 years, considerably longer than the business cycle, estimated at 8.5 years. Compared to several alternative estimation methods, the estimates of house price and credit cycles combine strong early warning performance with superior real-time reliability. Our findings contribute to the monitoring of systemic risks in the Irish economy and the conduct of macroprudential policies.

Keywords: Unobserved components models; Vector Error Correction models; Hodrick–Prescott filter; Christiano–Fitzgerald filter; Business cycles; House prices cycles; Credit cycle; Macroprudential policies. (search for similar items in EconPapers)
JEL-codes: C32 E32 E44 G21 G28 (search for similar items in EconPapers)
Date: 2025-10
New Economics Papers: this item is included in nep-eur, nep-fdg and nep-mac
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