Real and Financial Cycles: Estimates Using Unobserved Component Models for the Italian Economy

39 Pages Posted: 4 Oct 2017

See all articles by Guido Bulligan

Guido Bulligan

Bank of Italy

Lorenzo Burlon

European Central Bank (ECB)

Davide Delle Monache

Bank of Italy

Andrea Silvestrini

Bank of Italy

Date Written: July 19, 2017

Abstract

In this paper we examine the empirical features of both the business and financial cycles in Italy. We employ univariate and multivariate trend-cycle decompositions based on unobserved component models. Univariate estimates highlight the 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 financial cycles. At the same time, 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.

Keywords: business cycle, financial cycle, unobserved components, model-based filters

JEL Classification: C32, E32, E44

Suggested Citation

Bulligan, Guido and Burlon, Lorenzo and Delle Monache, Davide and Silvestrini, Andrea, Real and Financial Cycles: Estimates Using Unobserved Component Models for the Italian Economy (July 19, 2017). Bank of Italy Occasional Paper No. 382, Available at SSRN: https://ssrn.com/abstract=3047190 or http://dx.doi.org/10.2139/ssrn.3047190

Guido Bulligan

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Lorenzo Burlon

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Davide Delle Monache

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Andrea Silvestrini (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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