Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area

E.B.G. Galati, A.I.W. Hindrayanto, S.J. Koopman, M. Vlekke

Research output: Contribution to JournalArticleAcademicpeer-review


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 1970-2014. We find that financial cycles can parsimoniously be estimated by house prices and total credit or the credit-to-GDP ratio. We show that these medium-term cycles are longer and have larger amplitudes than business cycles, and that their length and amplitude vary over time and across countries.
Original languageUndefined/Unknown
Pages (from-to)83-87
JournalEconomics Letters
Publication statusPublished - 2016

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