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Housing and Credit Cycles in Ireland

Author

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  • Mugrabi, Farah

    (Central Bank of Ireland & Université catholique de Louvain)

  • Rünstler, Gerhard

    (European Central Bank)

Abstract

We apply the multivariate unobserved components model of Rünstler and Vlekke (2018) to jointly estimate the cyclical and trend components of output, credit, and residential property prices in Ireland. We find that credit and house price cycles are subject to an average duration of about 15 years, considerably longer than the business cycle, estimated at 8.5 years. Compared to several alternative estimation methods, the estimates of house price and credit cycles combine strong early warning performance with superior real-time reliability. Our findings contribute to the monitoring of systemic risks in the Irish economy and the conduct of macroprudential policies.

Suggested Citation

  • Mugrabi, Farah & Rünstler, Gerhard, 2025. "Housing and Credit Cycles in Ireland," Research Technical Papers 16/RT/25, Central Bank of Ireland.
    • Handle: RePEc:cbi:wpaper:16/rt/25
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    References listed on IDEAS

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    Keywords

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    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
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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