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Real and financial cycles: estimates using unobserved component models for the Italian economy

机译:实际和财务周期:使用意大利经济未观察到的组成部分模型进行的估算

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摘要

In this paper we examine the empirical features of both the business and the financial cycle in Italy. We employ univariate and multivariate trend-cycle decompositions based on unobserved component models. Univariate estimates highlight 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 the financial cycle. In addition, 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.
机译:在本文中,我们研究了意大利商业和金融周期的经验特征。我们基于未观察到的组件模型采用单变量和多变量趋势周期分解。单变量估计突出显示了实际GDP和对私营部门的实际信贷的不同周期性特征(持续性,持续时间和振幅)。多变量估计揭示了实际周期与财务周期之间存在反馈效应。此外,在最近时期(2015-2016年),多变量方法强调的产出差距要比本文中考虑的单变量模型所估计的更大。

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