Gerhard Ruenstler and Marente Vlekke, "Business, Housing, and Credit 
Cycles", Journal of Applied Econometrics, Vol. 33, No. 2, 2018, pp. 
212-226.

The data used in the article range from 1973 Q1 to 2014 Q4.  Real GDP
and the GDP deflator (PGDP) series have been taken from the OECD main
economic indicators database. Nominal total credit volumes to the
non-financial private sector in national currency (TCN) have been
taken from a dataset on Credit to the Non-financial Sector published
by the Bank for International Settlements
(http://www.bis.org/statistics/totcredit.htm). Nominal residential
property prices (HPN) have been taken from a dataset published by the
Bank for International Settlements
(http://www.bis.org/statistics/pp_detailed.htm). Please note that the
data are subject to regular revisions, and most recent data may
therefore differ from those used in the paper. The TCN and HPN series
have been deflated with the PGDP. All series have been taken in
natural logarithms. Finally, we have used TRAMO SEATS for a seasonal
adjustment of the resulting credit and property price series.  

The file rv-data.csv contains the transformed data as used in
estimation. The first two letters of the series labels in the data
file represent the country code, while the last three letters
represent the series, with GDPR, TCR, and HPR denoting real GDP,
credit, and residential property price series, respectively. This file
is an ASCII file in DOS format. It is zipped in the file rv-data.zip.

The file BCH_CYCLES.ZIP contains Matlab codes to run the main
estimates for the U.S. Please see Read_me.docx in the ZIP file for a
brief documentation of the code and its application.

Gerhard Ruenstler
gerhard.ruenstler@ecb.europa.eu