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16-029/III - Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area

  • Authors
    Gabriele Galati, De Nederlandsche Bank DNB, the Netherlands; Irma Hindrayanto, De Nederlandsche Bank DNB, the Netherlands; Siem Jan Koopman, VU University Amsterdam, the Netherlands; Marente Vlekke, Centraal Planbureau CPB, The Hague, the Netherlands
  • Publication date
    April 22, 2016
  • Keywords
    unobserved components time series model, Kalman filter, maximum likelihood estimation, band-pass filter, medium-term cycles
  • JEL
    C22, C32, E30, E50, E51, G01