Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/145358
Authors: 
Koopman, Siem Jan
Lit, Rutger
Lucas, Andre
Year of Publication: 
2016
Series/Report no.: 
Tinbergen Institute Discussion Paper 16-051/IV
Abstract: 
We develop a multivariate unobserved components model to extract business cycle and financial cycle indicators from a panel of economic and financial time series of four large developed economies. Our model is flexible and allows for the inclusion of cycle components in different selections of economic variables with different scales and with possible phase shifts. We find clear evidence of the presence of a financial cycle with a length that is approximately twice the length of a regular business cycle. Moreover, cyclical movements in credit related variables largely depend on the financial cycle, and only marginally on the business cycle. Property prices appear to have their own idiosyncratic dynamics and do not substantially load on business or financial cycle components. Systemic surveillance policies should therefore account for the different dynamic components in typical macro financial variables.
Subjects: 
financial cycle
business cycle
phase shift
multivariate state space model
Kalman filtering
panel time series
JEL: 
E32
C22
Document Type: 
Working Paper

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