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16-051/IV - Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S.

  • Authors
    Siem Jan Koopman, VU University Amsterdam, the Netherlands; Rutger Lit, VU University Amsterdam, the Netherlands; Andre Lucas, VU University Amsterdam, the Netherlands
  • Publication date
    July 11, 2016
  • Keywords
    financial cycle, business cycle, phase shift, multivariate state space model, Kalman filtering; panel time series
  • JEL
    E32, C22