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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

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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    More about this item

    Keywords

    Business cycle; Financial cycle; Unobserved components; Model-based filters;

    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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