16-029/III - Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area

• Authors
  Gabriele Galati, De Nederlandsche Bank DNB, the Netherlands; Irma Hindrayanto, De Nederlandsche Bank DNB, the Netherlands; Siem Jan Koopman, VU University Amsterdam, the Netherlands; Marente Vlekke, Centraal Planbureau CPB, The Hague, the Netherlands
• Publication date
  April 22, 2016

• Keywords
  unobserved components time series model, Kalman filter, maximum likelihood estimation, band-pass filter, medium-term cycles
• JEL
  C22, C32, E30, E50, E51, G01