Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154244
Authors: 
Stremmel, Hanno
Year of Publication: 
2015
Series/Report no.: 
ECB Working Paper 1811
Abstract: 
In this study, we approximate the financial cycle in Europe by combining potential common and relevant financial indicators. We consider different credit aggregates and asset prices but also incorporate banking sector indicators for 11 European countries. We develop seven different synthetic financial cycle measures in order to best capture the characteristics of the financial cycle. We assess the various financial cycle measures using both graphical and statistical investigation techniques. The best fitted financial cycle measure includes the following financial ingredients: credit to GDP ratio, credit growth and house prices to income ratio. This study also highlights potential applications for the financial cycle measure in the macro-prudential policy context.
Subjects: 
financial crises
financial cycle
financial regulation
medium-term
JEL: 
E30
E44
E61
G18
G28
ISBN: 
978-92-899-1624-0
Document Type: 
Working Paper

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