Galati, E., Hindrayanto, A., Koopman, S. and Vlekke, M. (2016). Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area Economics Letters, 145:83--87.
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Affiliated author
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Publication year2016
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JournalEconomics Letters
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.