Arbeitspapier
Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area
We adopt an unobserved components time series model to extract financial cycles for the United States and the five largest euro area countries over the period 1970 to 2014. We find that credit, the credit-to-GDP ratio and house prices have medium-term cycles which share a few common statistical properties. We show that financial cycles are longer and more ample than business cycles, and that their length and amplitude vary over time and across countries.
- Language
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Englisch
- Bibliographic citation
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Series: Tinbergen Institute Discussion Paper ; No. 16-029/III
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
Money Supply; Credit; Money Multipliers
Financial Crises
- Subject
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unobserved components time series model
Kalman filter
maximum likelihood estimation
band-pass filter
medium-term cycles
- Event
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Geistige Schöpfung
- (who)
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Galati, Gabriele
Hindrayanto, Irma
Koopman, Siem Jan
Vlekke, Marente
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2016
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Galati, Gabriele
- Hindrayanto, Irma
- Koopman, Siem Jan
- Vlekke, Marente
- Tinbergen Institute
Time of origin
- 2016
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