Real and financial cycles: estimates using unobserved component models for the Italian economy

DOI10.1007/S10260-019-00453-1MaRDI QIDQ2305035zbMATHOpenAlexFDO

Authors Guido Bulligan, Lorenzo Burlon, Davide Delle Monache, Andrea Silvestrini

Publication date 10 March 2020

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL http://www.bancaditalia.it/pubblicazioni/qef/2017-0382/QEF_382_17.pdf

zbMATH Keywords

unobserved componentsbusiness cyclefinancial cyclemodel-based filters

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

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

• A measure of output gap for Italy through structural time series models
• Measuring financial cycles in a model-based analysis: empirical evidence for the United States and the Euro area
• Modelling phase shifts among stochastic cycles
• ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL
• Time series analysis by state space methods.

Cited in

(7)

• A unified approach for jointly estimating the business and financial cycle, and the role of financial factors
• Detecting and measuring financial cycles in heterogeneous agents models: an empirical analysis
• Modelled approximations to the ideal filter with application to GDP and its components
• Regional business cycles in Italy
• Measuring financial cycles in a model-based analysis: empirical evidence for the United States and the Euro area
• Robust energy-to-peak filter design for a class of unstable polytopic systems with a macroeconomic application
• Estimation of the potential GDP by a new robust filter method

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