A contribution to the analysis of historical economic fluctuations (1870-2010): filtering, spurious cycles and unobserved component modelling

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dc.contributor.author Cendejas, José Luis
dc.contributor.author Fernández de Pinedo Echevarría, Nadia
dc.contributor.author Muñoz Pérez, Félix Fernando
dc.date.accessioned 2015-05-27T13:51:06Z
dc.date.available 2015-05-27T13:51:06Z
dc.date.issued 2015
dc.identifier.issn 1885-6888
dc.identifier.uri http://hdl.handle.net/10486/666428 en
dc.description.abstract Time series filtering methods such as the Hodrick-Prescott (HP) filter, with a consensual choice of the smoothing parameter, eliminate the possibility of identifying long swing cycles (e.g., Kondratieff type) or, alternatively, may distort periodicities that are in fact present in the data, giving rise, for example, to spurious Kuznets-type cycles. In this paper, we propose filtering Maddison’s time series for the period 1870-2010 for a selection of developed countries using a less restrictive filtering technique that does not impose but rather estimates the cut-off frequency. In particular, we use unobserved component models that optimally estimate the smoothing parameter. Using this methodology, we identify cycles of periods mainly in the range of 4-7 years (Juglar type cycles), as well as a pattern of cyclical convergence that deepens with globalization processes. After 1950, a common business cycle factor grouping all economies is found. es_ES
dc.format.extent 38 pag.
dc.format.mimetype application/pdf en
dc.language.iso eng es_ES
dc.publisher UAM. Departamento de Análisis Económico, Teoría Económica e Historia Económica es_ES
dc.relation.ispartofseries Economic analysis working papers series. 4/2015 en_US
dc.subject.other Historical business cycles en_US
dc.subject.other Spectral analysis en_US
dc.subject.other Unobserved component models en_US
dc.subject.other Maddison’s time series en_US
dc.title A contribution to the analysis of historical economic fluctuations (1870-2010): filtering, spurious cycles and unobserved component modelling en_US
dc.type workingPaper en_US
dc.subject.eciencia Economía es_ES
dc.subject.eciencia Empresa es_ES
dc.rights.accessRights openAccess en_US
dc.authorUAM Fernández De Pinedo Echevarría, Nadia (261159)
dc.authorUAM Muñoz Pérez, Félix Fernando (258602)


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