Title: Real and financial cycles: Estimates using unobserved component models for the Italian economy
Authors: Andrea Silvestrini - Banca d'Italia (Italy) [presenting]
Guido Bulligan - Bank of Italy (Italy)
Lorenzo Burlon - Bank of Italy (Italy)
Davide Delle Monache - Bank of Italy (Italy)
Abstract: The empirical features of both the business and financial cycles in Italy are examined. 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 considered univariate models.