Seminar: Business and Financial Cycles: an Unobserved Components Models Perspective

Time: 13.00-14.00 hours
Location: CPB-office, Van Stolkweg 14, The Hague

Presentation: Marente Vlekke (CPB)

Discussant: Jasper de Winter (DNB)

Language: English

Registration:  Please register here

Abstract subject:
We use multivariate unobserved components models to estimate trend and cyclical components in GDP, credit volumes and house prices for the U.S. and the five largest European economies. With the exception of Germany, we find large and long cycles in the financial series, which are highly correlated with a medium-term component in GDP cycles. Differences across countries in the length and size of cycles appear to be related to the properties of national housing markets. The precision of pseudo real-time estimates is roughly comparable to that of GDP cycles.

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