Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/175747
Authors: 
Rünstler, Gerhard
Balfoussia, Hiona
Burlon, Lorenzo
Buss, Ginters
Comunale, Mariarosaria
De Backer, Bruno
Dewachter, Hans
Guarda, Paolo
Haavio, Markus
Hindrayanto, Irma
Iskrev, Nikolai Ivanov
Jaccard, Ivan
Kulikov, Dmitry
Kunovac, Davor
Lenarcic, Crt
Lequien, Matthieu
Lozej, Matija
Mandler, Martin
Papageorgiou, Dimitris
Pedersen, Jesper
Perez-Quiros, Gabriel
Rannenberg, Ansgar
Rots, Eyno
Scharnagl, Michael
Welz, Peter
Year of Publication: 
2018
Series/Report no.: 
ECB Occasional Paper 205
Abstract: 
This paper studies the cyclical properties of real GDP, house prices, credit, and nominal liquid financial assets in 17 EU countries, by applying several methods to extract cycles. The estimates confirm earlier findings of large medium-term cycles in credit volumes and house prices. GDP appears to be subject to fluctuations at both business-cycle and medium-term frequencies, and GDP fluctuations at medium-term frequencies are strongly correlated with cycles in credit and house prices. Cycles in equity prices and long-term interest rates are considerably shorter than those in credit and house prices and have little in common with the latter. Credit and house price cycles are weakly synchronous across countries and their volatilities vary widely - these differences may be related to the structural properties of housing and mortgage markets. Finally, DSGE models can replicate the volatility of cycles in house and equity prices, but not the persistence of house price cycles.
Subjects: 
financial cycles
synchronicity
real-time estimates
DSGE models
JEL: 
C32
E32
E44
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3364-3
Document Type: 
Research Report

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