Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area
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- Galati, Gabriele & Hindrayanto, Irma & Koopman, Siem Jan & Vlekke, Marente, 2016. "Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area," Economics Letters, Elsevier, vol. 145(C), pages 83-87.
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More about this item
Keywordsunobserved components time series model; Kalman filter; maximum likelihood estimation; band-pass filter; medium-term cycles;
- 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
- E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
- G01 - Financial Economics - - General - - - Financial Crises
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-05-08 (All new papers)
- NEP-BAN-2016-05-08 (Banking)
- NEP-BEC-2016-05-08 (Business Economics)
- NEP-MAC-2016-05-08 (Macroeconomics)
- NEP-PKE-2016-05-08 (Post Keynesian Economics)
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