Real and financial cycles in EU countries : stylised facts and modelling implications

WGEM Team on Real and Financial Cycles ; Gerhard Rünstler (Chairman of the team and corresponding author, European Central Bank, Frankfurt am Main, Germany), Hiona Balfoussia (Bank of Greece, Athens, Greece), Lorenzo Burlon (Banca d’Italia, Rome, Italy), Ginters Buss (Latvijas Banka, Riga, Latvia), Mariarosaria Comunale (Lietuvos bankas, Vilnius, Lithuania), Bruno De Backer (Nationale Bank van België/ Banque Nationale de Belgique, Brussels, Belgium), Hans Dewachter (Nationale Bank van België/ Banque Nationale de Belgique, Brussels, Belgium), Paolo Guarda (Banque centrale du Luxembourg, Luxembourg City, Luxembourg), Markus Haavio (Suomen Pankki - Finlands Bank, Helsinki, Finland), Irma Hindrayanto (De Nederlandsche Bank, Amsterdam, The Netherlands), Nikolai Ivanov Iskrev (Banco de Portugal, Lisbon, Portugal), Ivan Jaccard (European Central Bank, Frankfurt am Main, Germany), Dmitry Kulikov (Eesti Pank, Tallinn, Estonia), Davor Kunovac (Hrvatska narodna banka, Zagreb, Croatia), Crt Lenarcic (Banka Slovenije, Ljubljana, Slovenia), Matthieu Lequien (Banque de France, Paris, France), Matija Lozej (Central Bank of Ireland, Dublin, Ireland), Martin Mandler (Deutsche Bundesbank, Frankfurt am Main, Germany), Dimitris Papageorgiou (Bank of Greece, Athens, Greece), Jesper Pedersen (Danmarks Nationalbank, Copenhagen, Denmark), Gabriel Perez-Quiros (Banco de España, Madrid, Spain), Ansgar Rannenberg (Central Bank of Ireland, Dublin, Ireland), Eyno Rots (Magyar Nemzeti Bank, Budapest, Hungary), Michael Scharnagl (Deutsche Bundesbank, Frankfurt am Main, Germany), Peter Welz (European Central Bank, Frankfurt am Main, Germany)

This paper studies the cyclical properties of real GDP, house prices, credit, and nominal liquid financial assets in 17 EU countries, by applying several methods to extract cycles. The estimates confirm earlier findings of large medium-term cycles in credit volumes and house prices. GDP appears to be subject to fluctuations at both business-cycle and medium-term frequencies, and GDP fluctuations at medium-term frequencies are strongly correlated with cycles in credit and house prices. Cycles in equity prices and long-term interest rates are considerably shorter than those in credit and house prices and have little in common with the latter. Credit and house price cycles are weakly synchronous across countries and their volatilities vary widely - these differences may be related to the structural properties of housing and mortgage markets. Finally, DSGE models can replicate the volatility of cycles in house and equity prices, but not the persistence of house price cycles.

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Year of publication:	2018$nJanuary 2018
Other Persons:	Rünstler, Gerhard (contributor) ; Balfoussia, Hiona (contributor) ; Burlon, Lorenzo (contributor) ; Buss, Ginters (contributor) ; Comunale, Mariarosaria (contributor) ; De Backer, Bruno (contributor) ; Dewachter, Hans (contributor) ; Guarda, Paolo (contributor) ; Haavio, Markus (contributor) ; Hindrayanto, Irma (contributor) ; Iskrev, Nikolai Ivanov (contributor) ; Jaccard, Ivan (contributor) ; Kulikov, Dmitry (contributor) ; Kunovac, Davor (contributor) ; Lenarcic, Crt (contributor) ; Lequien, Matthieu (contributor) ; Lozej, Matija (contributor) ; Mandler, Martin (contributor) ; Papageorgiou, Dimitris (contributor) ; Pedersen, Jesper (contributor) ; Pérez-Quirós, Gabriel (contributor) ; Rannenberg, Ansgar (contributor) ; Rots, Eyno (contributor) ; Scharnagl, Michael (contributor) ; Welz, Peter (contributor)
Institutions:	European System of Central Banks / Working Group on Econometric Modelling (issuing body)
Publisher:	Frankfurt am Main, Germany : European Central Bank
Subject:	financial cycles \| synchronicity \| real-time estimates \| DSGE models \| Konjunktur \| Business cycle \| Finanzkrise \| Financial crisis \| Finanzmarkt \| Financial market \| Konjunkturzusammenhang \| Business cycle synchronization \| Geldpolitik \| Monetary policy \| Dynamisches Gleichgewicht \| Dynamic equilibrium \| Theorie \| Theory \| Schätzung \| Estimation \| EU-Staaten \| EU countries

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Extent:	1 Online-Ressource (64 Seiten) Illustrationen, Diagramme
Series:	Occasional paper series / European Central Bank. - Frankfurt, M. : European Central Bank, ISSN 1725-6534, ZDB-ID 2123791-8. - Vol. no 205 (January 2018)
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Amtsdruckschrift ; Government document ; Graue Literatur ; Non-commercial literature
Language:	English
ISBN:	978-92-899-3364-3
Other identifiers:	10.2866/630473 [DOI] hdl:10419/175747 [Handle]
Classification:	C32 - Time-Series Models ; E32 - Business Fluctuations; Cycles ; E44 - Financial Markets and the Macroeconomy
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011779865