Measuring financial cycles in a model-based analysis: empirical evidence for the United States and the Euro area

DOI10.1016/J.ECONLET.2016.05.034MaRDI QIDQ1670167zbMATH OpenOpenAlexFDO

Authors Gabriele Galati, Irma Hindrayanto, Siem Jan Koopman, Marente Vlekke

Publication date 5 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://papers.tinbergen.nl/16029.pdf

zbMATH Keywords

Kalman filtermaximum likelihood estimationmedium-term cyclesband-pass filterunobserved component time series model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Actuarial science and mathematical finance (91G99)

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Cites work

• Time series analysis by state space methods.

Cited in

(8)

• Research on the dynamic relationship between business cycle and financial cycle: an empirical study based on DCC-GARCH model
• Dissecting the financial cycle with dynamic factor models
• A unified approach for jointly estimating the business and financial cycle, and the role of financial factors
• Business cycles, financial cycles and capital structure
• Macro-financial dynamics: theories, empirical methods, and time scales
• On the credit-to-GDP gap and spurious medium-term cycles
• Real and financial cycles: estimates using unobserved component models for the Italian economy
• Detecting and measuring financial cycles in heterogeneous agents models: an empirical analysis

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