Autori
Silvestrini, Andrea
Bulligan, Guido
Burlon, Lorenzo
Delle Monache, Davide

Titolo
Real and financial cycles: estimates using unobserved component models for the Italian economy
Periodico
Statistical methods & applications : Journal of the Italian Statistical Society
Anno: 2019 - Volume: 28 - Fascicolo: 3 - Pagina iniziale: 541 - Pagina finale: 569

In this paper we examine the empirical features of both the business and the financialcycleinItaly.Weemployunivariateandmultivariatetrend-cycledecompositionsbasedon unobserved component models. Univariate estimates highlight different cyclicalproperties (persistence, duration and amplitude) of real GDP and real credit to theprivate sector. Multivariate estimates uncover the presence of feedback effects betweenthe real and the financial cycle. In addition, in the most recent period (2015–2016)the multivariate approach highlights a wider output gap than that estimated by theunivariate models considered in this paper.



SICI: 1618-2510(2019)28:3<541:RAFCEU>2.0.ZU;2-Q

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