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Estimating business and financial cycles in Slovenia

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  • Lenarčič, Črt

Abstract

In this paper we utilize a multivariate STSM model in order to estimate trend and cyclical components on a set of business and financial economic variables for Slovenia. The results show that financial cycles are somewhat longer compared to business cycles. Comparing the standard deviations of financial and business cycles give inconclusive results on average, but excluding particular macroeconomic variables that are by definition more volatile, we see that also standard deviations of financial cycles tend to be larger. From the economic policy implications point of view the results might not come as a surprise, but are utterly important for additionally implementing financial stability goals alongside the monetary policy mandate, as financial cycles seem to be longer and deeper compared to business cycles.

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  • Lenarčič, Črt, 2021. "Estimating business and financial cycles in Slovenia," MPRA Paper 109977, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:109977
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    Cited by:

    1. Damjanović, Milan & Lenarčič, Črt, 2023. "Constructing a house price misalignment indicator: revisited and revamped," MPRA Paper 118489, University Library of Munich, Germany.

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    More about this item

    Keywords

    Unobserved components models; financial cycles; housing cycles; business cycles; 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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