The Italian financial cycle: 1861–2011

Bonis, Riccardo De; Silvestrini, Andrea

doi:10.1007/s11698-013-0103-5

Cited by 174 publications

(25 citation statements)

References 36 publications

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“…As the latter typically are extracted from a filter band of 8-32 quarters, filter bands do not overlap, and the estimates are uncorrelated by construction. While these issues can be overcome from structural time series models (STSMs), applications to credit and housing so far have used univariate models (De Bonis & Silvestrini, 2013;Galati, Koopman, Hindrayanto, & Vlekke, 2016). Chen, Kontonikas, and Montagnoli (2012) apply a multivariate STSM to US data, similar to our approach.…”

Section: Introductionmentioning

confidence: 99%

Business, housing, and credit cycles

Rünstler

Vlekke

2017

J of Applied Econometrics

119

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Note: This Working Paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. Terms of use: Documents in AbstractWe use multivariate unobserved components models to estimate trend and cyclical components in GDP, credit volumes and house prices for the U.S. 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. Studies have so far mostly used univariate non-parametric methods, i.e. band-pass filters and turning point analysis, to extract financial cycles. These methods require a priori assumptions on cyclical characteristics and are applied separately to each series. They are therefore not particularly suitable for assessing cyclical co-movements and evaluating the cyclical stance in real-time.Multivariate STSMs do not suffer from these shortcomings. We propose various modifications of the standard STSM to jointly model the cyclical dynamics in GDP and the financial series.In line with earlier studies, we find pronounced cycles in credit and house prices with a length of 12 to 18 years in most cases. There also arise important differences across countries. We find cycles to be particularly long and large for the U.K. and Spain, of more moderate length and size for the U.S., Italy, and France, and comparatively short and small for Germany. These differences turn out to be related to a specific structural characteristic of national housing markets: cycles are longer and larger for countries with high rates of private home ownership.Moreover, financial cycles are closely related to a medium-term component in the GDP cycle.More precisely, the multivariate estimates emphasize the presence of medium-term fluctuations in GDP, which are longer than the traditional business cycle (3 to 8 years). We find high correlations between the financial and GDP cycles in the medium term, but more moderate correlations over the business cycle. While previous studies have documented that peaks and troughs in financial cycles coincide with major turning points in ...

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Section: Introductionmentioning

confidence: 99%

Business, housing, and credit cycles

Rünstler

Vlekke

2017

J of Applied Econometrics

119

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“…Additional details on dating BCs can be found in Stock and Watson (2010) and Sinai (2010 (Akar, 2016;Bonis & Silvestrini, 2013); however, they do not construct the 'cycle' for the entire financial sector. For example, Bonis and Silvestrini (2013) investigated the main features of the Italian FC extracted by using a structural trend-cycle decomposition of the credit-to-GDP ratio. Akar (2016) used credit volume and BIST 100 stocks to represent Turkey's FC.…”

Section: Three Approaches Of Dating the Business Cyclementioning

confidence: 99%

Is finance a veil? Lead‐and‐lag relationship between financial and business cycles: The case of China

Shen

Shi

Wu³

2018

Euro Fin Management

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This study examines the lead‐and‐lag relationship between financial cycles (FCs) and business cycles (BCs) by using Chinese provincial data. We construct FCs of the financial sector on the basis of three financial variables: credit‐to‐GDP (gross domestic product) ratios, house prices, and equity prices. We use the panel dynamic logit model to investigate the lead‐and‐lag effect between two sectors. Results show that each province has its own unique FCs and BCs. Hence, financial policies should be different in dissimilar provinces. Next, we find that FCs lead BCs and not vice versa. Furthermore, the leading effect is stronger in rich provinces than in poor areas.

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“…Often the financial cycle has been dated and analyzed starting from the series of credit to GDP ratio (Drehmann, Borio and Tsatsaronis 2012;De Bonis and Silvestrini 2014). Beyond this, the level of stocks of financial assets (bonds, stock market capitalization, loans) relative to GDP may help to investigate many far-reaching economic issues.…”

Section: Datamentioning

confidence: 99%

Business Cycles, Credit Cycles, and Bank Holdings of Sovereign Bonds: Historical Evidence for Italy 1861-2013

et al. 2017

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The purpose of the Quaderni di Storia Economica (Economic History Working Papers) is to promote the circulation of preliminary versions of working papers on growth, finance, money, institutions prepared within the Bank of Italy or presented at Bank seminars by external speakers with the aim of stimulating comments and suggestions. The present series substitutes the Quaderni dell'Ufficio Ricerche storiche (Historical Research Papers). The views expressed in the articles are those of the authors and do not involve the responsibility of the Bank.

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The Italian financial cycle: 1861–2011

Cited by 174 publications

References 36 publications

Business, housing, and credit cycles

Business, housing, and credit cycles

Is finance a veil? Lead‐and‐lag relationship between financial and business cycles: The case of China

Business Cycles, Credit Cycles, and Bank Holdings of Sovereign Bonds: Historical Evidence for Italy 1861-2013

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