Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154348
Authors: 
Rünstler, Gerhard
Vlekke, Marente
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper 1915
Abstract: 
We use multivariate unobserved components models to estimate trend and cyclical components in GDP, credit volumes and house prices for the U.S. and the five largest European economies. With the exception of Germany, we find large and long cycles in credit and house prices, which are highly correlated with a medium-term component in GDP cycles. Differences across countries in the length and size of cycles appear to be related to the properties of national housing markets. The precision of pseudo real-time estimates of credit and house price cycles is roughly comparable to that of GDP cycles.
Subjects: 
credit cycle
financial cycles
house prices
model-based filters
unobserved components models
JEL: 
C32
E32
E44
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-2163-3
Document Type: 
Working Paper

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