Business, housing and credit cycles

Gerhard Rünstler () and Marente Vlekke

No 1915, Working Paper Series from European Central Bank

Abstract: We use multivariate unobserved components models to estimate trend and cyclical components in GDP, credit volumes and house prices for the U.S. and the five largest European economies. With the exception of Germany, we find large and long cycles in credit and house prices, which are highly correlated with a medium-term component in GDP cycles. Differences across countries in the length and size of cycles appear to be related to the properties of national housing markets. The precision of pseudo real-time estimates of credit and house price cycles is roughly comparable to that of GDP cycles. JEL Classification: C32, E32, E44

Keywords: credit cycle; financial cycles; house prices; model-based filters; unobserved components models (search for similar items in EconPapers)
Date: 2016-06
New Economics Papers: this item is included in nep-bec, nep-ger, nep-mac and nep-ure
Note: 339116
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20161915

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