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

Rots, Eyno (2018) Business, Housing, and Credit Cycles – The Case of Hungary. HITELINTÉZETI SZEMLE / FINANCIAL AND ECONOMIC REVIEW, 17 (4). pp. 5-22. ISSN 1588-6883 (nyomtatott); 2416-3201 (online)

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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.

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