Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies*
提出一种基于模型的多元时间序列分解方法，将短期波动归为商业周期、中期波动归为金融周期，并分析八个发达经济体的宏观与金融数据，发现中期周期（尤其是房价与GDP）具有强共周期性，且房价部分受信贷周期驱动。
Abstract We discuss a model‐based simultaneous decomposition of multiple time series in short‐term and medium‐term cyclical dynamics. We associate short‐term dynamic features with the business cycle and medium‐term dynamic features with the financial cycle. For eight advanced economies, we analyse a set of macroeconomic and financial time series data. A strong and common finding among all economies is the co‐cyclicality of medium‐term cycles, especially those corresponding to house price and gross domestic product variables. We also find empirical evidence that the house price is partly driven by the credit cycle. Most cyclical movements in the country‐specific time series appear to be driven by domestic rather than global factors.