Lorenzo Burlon

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"Real and financial cycles: Estimates with unobserved component models for the Italian economy"

Joint with Guido Bulligan, Davide Delle Monache, and Andrea Silvestrini.

First version: July 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 classifications: C32, E32, E44.

Working paper versions:

Occasional papers of the Bank of Italy (Questioni di Economia e Finanza), n. 382, 2017.


- 5th CPM Internal Workshop "Secular Stagnation and Financial Cycles," March 2017 (Davide Delle Monache).