Template-Type: ReDIF-Article 1.0

Author-Name: Eyno Rots
Author-Workplace-Name: Magyar Nemzeti Bank
Author-Email: rotse@mnb.hu
Author-Person: pro1079

Title: Business, Housing, and Credit Cycles – The Case of Hungary

Abstract: This paper studies the characteristics of financial cycles in Hungary. It applies existing
methodology from the literature to Hungarian data to estimate a multivariate
structural time-series model. The model allows for a joint examination of the
behaviour of the Hungarian financial sector and the overall economy, and estimates
their cyclical positions. According to the results of the estimation, the financial
sector in Hungary seems to experience volatile cycles, which last more than 15 years
on average. Moreover, the cyclical position of output seems to show strong comovement
with the long financial-sector cycles. Although the data series available
for Hungary are relatively short, the results of the estimation are quite credible,
since they conform to the existing international evidence and seem robust to even
stricter data limitations.

Classification-JEL: C32, E32, E44
Keywords: time-series models, financial cycles, real business cycles, house prices, MLE
Pages: 5-22
Volume: 17
Issue: 4
Year: 2018
File-URL: http://english.hitelintezetiszemle.hu/letoltes/fer-17-4-st1-rots.pdf
File-Format: Application/pdf
Handle: RePEc:mnb:finrev:v:17:y:2018:i:4:p:5-22