Business, housing, and credit cycles

Business, housing, and credit cycles We use multivariate unobserved components models to estimate trend and cyclical components in gross domestic product (GDP), credit volumes, and house prices for the USA and the five largest European economies. With the exception of Germany, we find large and long cycles in credit and house prices, which are highly correlated with a medium‐term component in GDP cycles. Differences across countries in the length and size of cycles appear to be related to the properties of national housing markets. The precision of pseudo real‐time estimates of credit and house price cycles is roughly comparable to that of GDP cycles. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Applied Econometrics Wiley

Business, housing, and credit cycles

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Publisher
Wiley Subscription Services, Inc., A Wiley Company
Copyright
Copyright © 2018 John Wiley & Sons, Ltd.
ISSN
0883-7252
eISSN
1099-1255
D.O.I.
10.1002/jae.2604
Publisher site
See Article on Publisher Site

Abstract

We use multivariate unobserved components models to estimate trend and cyclical components in gross domestic product (GDP), credit volumes, and house prices for the USA and the five largest European economies. With the exception of Germany, we find large and long cycles in credit and house prices, which are highly correlated with a medium‐term component in GDP cycles. Differences across countries in the length and size of cycles appear to be related to the properties of national housing markets. The precision of pseudo real‐time estimates of credit and house price cycles is roughly comparable to that of GDP cycles.

Journal

Journal of Applied EconometricsWiley

Published: Jan 1, 2018

References

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