Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2016-04-22
Number: 16-029/III
Author-Name: Gabriele Galati
Author-Workplace-Name: De Nederlandsche Bank DNB, the Netherlands
Author-Name: Irma Hindrayanto
Author-Workplace-Name: De Nederlandsche Bank DNB, the Netherlands
Author-Name: Siem Jan Koopman
Author-Workplace-Name: VU University Amsterdam, the Netherlands
Author-Name: Marente Vlekke
Author-Workplace-Name: Centraal Planbureau CPB, The Hague, the Netherlands
Title: Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area
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 to 2014. We find that credit, the credit-to-GDP ratio and house prices have medium-term cycles which share a few common statistical properties. We show that financial cycles are longer and more ample than business cycles, and that their length and amplitude vary over time and across countries.
Classification-JEL: C22, C32, E30, E50, E51, G01
Keywords: unobserved components time series model, Kalman filter, maximum likelihood estimation, band-pass filter, medium-term cycles
File-Url: https://papers.tinbergen.nl/16029.pdf
File-Format: application/pdf
File-Size: 312156 bytes
Handle: RePEc:tin:wpaper:20160029