Business, housing and credit cycles

Arbeitspapier

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.

Object Details

• ISBN: 978-92-899-2163-3
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 1915

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Business Fluctuations; Cycles ; Financial Markets and the Macroeconomy
• Subject: credit cycle ; financial cycles ; house prices ; model-based filters ; unobserved components models

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Rünstler, Gerhard ; Vlekke, Marente
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2016

Further information

• DOI: doi:10.2866/202593
• Handle: http://hdl.handle.net/10419/154348
• Last update: 10.03.2025, 11:44 AM CET