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

doi:10.1016/j.econlet.2016.05.034

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

A-LAB

Research output: Contribution to Journal › Article › Academic › peer-review

Abstract

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 language	Undefined/Unknown
Pages (from-to)	83-87
Journal	Economics Letters
Volume	145
DOIs	https://doi.org/10.1016/j.econlet.2016.05.034
Publication status	Published - 2016

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10.1016/j.econlet.2016.05.034

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abstract = "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.",

author = "E.B.G. Galati and A.I.W. Hindrayanto and S.J. Koopman and M. Vlekke",

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AU - Hindrayanto, A.I.W.

AU - Koopman, S.J.

AU - Vlekke, M.

PY - 2016

Y1 - 2016

N2 - 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.

AB - 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.

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UR - https://www.scopus.com/pages/publications/84973637744#tab=citedBy

U2 - 10.1016/j.econlet.2016.05.034

DO - 10.1016/j.econlet.2016.05.034

M3 - Article

SN - 0165-1765

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SP - 83

EP - 87

JO - Economics Letters

JF - Economics Letters

ER -

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

Abstract

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