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

Author

Listed:
  • Guido Bulligan

    (Banca d’Italia)

  • Lorenzo Burlon

    (Banca d’Italia)

  • Davide Delle Monache

    (Banca d’Italia)

  • Andrea Silvestrini

    (Banca d’Italia)

Abstract

In this paper we examine the empirical features of both the business and the financial cycle in Italy. We employ univariate and multivariate trend-cycle decompositions based on unobserved component models. Univariate estimates highlight different cyclical properties (persistence, duration and amplitude) of real GDP and real credit to the private sector. Multivariate estimates uncover the presence of feedback effects between the real and the financial cycle. In addition, in the most recent period (2015–2016) the multivariate approach highlights a wider output gap than that estimated by the univariate models considered in this paper.

Suggested Citation

  • Guido Bulligan & Lorenzo Burlon & Davide Delle Monache & Andrea Silvestrini, 2019. "Real and financial cycles: estimates using unobserved component models for the Italian economy," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(3), pages 541-569, September.
    • Handle: RePEc:spr:stmapp:v:28:y:2019:i:3:d:10.1007_s10260-019-00453-1
    DOI: 10.1007/s10260-019-00453-1
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    5. Filippo Gusella, 2022. "Detecting And Measuring Financial Cycles In Heterogeneous Agents Models: An Empirical Analysis," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 25(02n03), pages 1-22, March.
    6. Jasper de Winter & Siem Jan Koopman & Irma Hindrayanto, 2022. "Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(1), pages 57-79, February.
    7. Roberta Fiori & Claudia Pacella, 2019. "Should the CCYB be enhanced with a sectoral dimension? The case of Italy," Questioni di Economia e Finanza (Occasional Papers) 499, Bank of Italy, Economic Research and International Relations Area.
    8. Lenarčič, Črt, 2021. "Estimating business and financial cycles in Slovenia," MPRA Paper 109977, University Library of Munich, Germany.
    9. Bogdan Andrei Dumitrescu & Robert-Adrian Grecu, 2023. "Impact of Financial Factors on the Economic Cycle Dynamics in Selected European Countries," JRFM, MDPI, vol. 16(12), pages 1-17, November.
    10. Gyurkovics, Éva & Takács, Tibor, 2022. "Robust energy-to-peak filter design for a class of unstable polytopic systems with a macroeconomic application," Applied Mathematics and Computation, Elsevier, vol. 420(C).

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    More about this item

    Keywords

    Business cycle; Financial cycle; Unobserved components; Model-based filters;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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