Estimating business and financial cycles in Slovenia

Črt Lenarčič

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we utilize a multivariate STSM model in order to estimate trend and cyclical components on a set of business and financial economic variables for Slovenia. The results show that financial cycles are somewhat longer compared to business cycles. Comparing the standard deviations of financial and business cycles give inconclusive results on average, but excluding particular macroeconomic variables that are by definition more volatile, we see that also standard deviations of financial cycles tend to be larger. From the economic policy implications point of view the results might not come as a surprise, but are utterly important for additionally implementing financial stability goals alongside the monetary policy mandate, as financial cycles seem to be longer and deeper compared to business cycles.

Keywords: Unobserved components models; financial cycles; housing cycles; business cycles; model-based filters (search for similar items in EconPapers)
JEL-codes: C32 E32 E44 (search for similar items in EconPapers)
Date: 2021-10
New Economics Papers: this item is included in nep-fdg, nep-mac, nep-mon and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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https://mpra.ub.uni-muenchen.de/110179/8/MPRA_paper_110179.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:109977

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