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

  • Guido Bulligan
  • Lorenzo Burlon
  • Davide Delle Monache
  • Andrea SilvestriniEmail author
Original Paper


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.


Business cycle Financial cycle Unobserved components Model-based filters 

JEL Classification

C32 E32 E44 



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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2019

Authors and Affiliations

  • Guido Bulligan
    • 1
  • Lorenzo Burlon
    • 1
  • Davide Delle Monache
    • 1
  • Andrea Silvestrini
    • 1
    Email author
  1. 1.Directorate General for Economics, Statistics and ResearchBanca d’ItaliaRomeItaly

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