Galati, Gabriele Hindrayanto, Irma Koopman, Siem Jan Vlekke, Marente
Year of Publication:
Tinbergen Institute Discussion Paper 16-029/III
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.
unobserved components time series model Kalman filter maximum likelihood estimation band-pass filter medium-term cycles