Using dynamic factor models and state-space techniques we quantify financial cycles for twenty European countries over the period 1960Q1–2015Q4 capturing imbalances across credit, housing, bond and equity markets. The paper documents the existence of slow-moving and persistent financial cycles, as well as cross-country synchronicity patterns in Europe. Spillover analysis points at the significant role the global financial cycle and the regional European financial cycle play in shaping national financial market dynamics. Quarterly Bayesian panel VAR estimations suggest that financial cycles influence business cycles and public debt dynamics, with stronger shock transmission observed in the euro area and systemic European economies.

我们使用动态因子模型和状态空间技术量化了 20 个欧洲国家在 1960 年第一季度至 2015 年第四季度期间的金融周期，捕捉了信贷、住房、债券和股票市场之间的失衡。该文件记录了缓慢移动和持续的金融周期的存在，以及欧洲的跨国同步模式。溢出分析指出全球金融周期和欧洲区域金融周期在塑造国家金融市场动态方面发挥的重要作用。季度贝叶斯面板 VAR 估计表明，金融周期影响商业周期和公共债务动态，在欧元区和系统性欧洲经济体中观察到更强的冲击传导。