Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/145336
Authors: 
Galati, Gabriele
Hindrayanto, Irma
Koopman, Siem Jan
Vlekke, Marente
Year of Publication: 
2016
Series/Report no.: 
Tinbergen Institute Discussion Paper 16-029/III
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.
Subjects: 
unobserved components time series model
Kalman filter
maximum likelihood estimation
band-pass filter
medium-term cycles
JEL: 
C22
C32
E30
E50
E51
G01
Document Type: 
Working Paper

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