A contribution to the analysis of historical economic fluctuations (1870-2010): filtering, spurious cycles and unobserved component modelling
Publisher
UAM. Departamento de Análisis Económico, Teoría Económica e Historia EconómicaDate
2015Serie/Num.
Economic analysis working papers series. 4/2015ISSN
1885-6888Subjects
Historical business cycles; Spectral analysis; Unobserved component models; Maddison’s time series; Economía; EmpresaAbstract
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.
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Google Scholar:Cendejas, José Luis
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Fernández de Pinedo Echevarría, Nadia
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Muñoz Pérez, Félix Fernando
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