Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/154348 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
ECB Working Paper No. 1915
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
credit cycle
financial cycles
house prices
model-based filters
unobserved components models
JEL: 
C32
E32
E44
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-2163-3
Dokumentart: 
Working Paper

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