Business, Housing and Credit Cycles
使用多变量不可观测成分模型，估计美国及五个欧洲最大经济体的GDP、信贷和房价的周期成分，发现信贷和房价存在与GDP中期成分高度相关的大而长的周期，且各国差异与住房市场特征有关。
Summary We use multivariate unobserved components models to estimate trend and cyclical components in gross domestic product (GDP), credit volumes, and house prices for the USA and the five largest European economies. With the exception of Germany, we find large and long cycles in credit and house prices, 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 of credit and house price cycles is roughly comparable to that of GDP cycles.