Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/204036
Authors: 
Adarov, Amat
Year of Publication: 
2018
Series/Report no.: 
wiiw Statistical Report No. 7
Abstract: 
The paper reports estimation results and technical details on the estimation of financial cycles for a global sample of 34 advanced and developing countries over the period 1960Q1–2015Q4, as well as introduces a database of financial cycles. We estimate several versions of financial cycles for credit, housing, bond and equity markets as well as aggregate financial cycles for each country in the sample. To this end we use stationary and non-stationary dynamic factor models and state-space techniques to extract financial cycles as a common factor from a large number of variables conveying price, quantity and risk characteristics of financial markets.
Subjects: 
financial cycles
global and regional financial cycles
asset bubbles
housing prices
equity
debt securities
credit
capital markets
Kalman filter
factor models
JEL: 
F30
E44
G15
Document Type: 
Research Report

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