Measuring real and financial cycles in Luxembourg: An unobserved components approach
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Paolo Guarda & Philippe Jeanfils, 2012.
"Macro-financial linkages: Evidence from country-specific VARs,"
BCL working papers
71, Central Bank of Luxembourg.
- Guarda, Paolo & Jeanfils, Philippe, 2012. "Macro-Financial Linkages: evidence from country-specific VARs," CEPR Discussion Papers 8875, C.E.P.R. Discussion Papers.
- Harvey,Andrew C., 1991.
"Forecasting, Structural Time Series Models and the Kalman Filter,"
Cambridge Books,
Cambridge University Press, number 9780521405737, December.
- Harvey,Andrew C., 1990. "Forecasting, Structural Time Series Models and the Kalman Filter," Cambridge Books, Cambridge University Press, number 9780521321969, December.
- Chen, Xiaoshan & Kontonikas, Alexandros & Montagnoli, Alberto, 2012.
"Asset prices, credit and the business cycle,"
Economics Letters, Elsevier, vol. 117(3), pages 857-861.
- Chen, Xiaoshan & Kontonikas, Alexandros & Montagnoli, Alberto, 2012. "Asset Prices, Credit and the Business Cycle," Stirling Economics Discussion Papers 2012-04, University of Stirling, Division of Economics.
- Eyno Rots, 2018. "Business, Housing, and Credit Cycles – The Case of Hungary," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 17(4), pages 5-22.
- Gaston Giordana & Sabbah Gueddoudj, 2016. "Characterising the financial cycle in Luxembourg," BCL working papers 103, Central Bank of Luxembourg.
- Igan, Deniz & Kabundi, Alain & Nadal De Simone, Francisco & Pinheiro, Marcelo & Tamirisa, Natalia, 2011. "Housing, credit, and real activity cycles: Characteristics and comovement," Journal of Housing Economics, Elsevier, vol. 20(3), pages 210-231, September.
More about this item
Keywords
Financial cycles; unobserved component time series models; Luxembourg.;JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- 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
- E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
- G01 - Financial Economics - - General - - - Financial Crises
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2019-04-08 (European Economics)
- NEP-ETS-2019-04-08 (Econometric Time Series)
- NEP-MAC-2019-04-08 (Macroeconomics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bcl:bclwop:bclwp126. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://www.bcl.lu/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.