A contribution to the analysis of historical economic fluctuations (1870–2010): filtering, spurious cycles, and unobserved component modeling
Entity
UAM. Departamento de Análisis Económico, Teoría Económica e Historia EconómicaPublisher
Springer VerlargDate
2017-01-01Citation
10.1007/s11698-015-0135-0
Cliometrica 11.1 (2017): 93-125
ISSN
1863-2505 (print); 1863-2513 (online)DOI
10.1007/s11698-015-0135-0Funded by
We acknowledge research funding from Instituto de Investigaciones Economicas y Sociales Francisco de Vitoria (Grant #6-2015); Spanish National Plan for Scientific and Technical Research and Innovation grants CSO2014-53293-R and HAR 2012-35965/His; and the research group IT807-13Project
Gobierno de España. CSO2014-53293-R; Gobierno de España. HAR 2012-35965/HisEditor's Version
http://doi.org/10.1007/s11698-015-0135-0Subjects
Historical business cycles; Maddison’s time series; Spectral analysis; Unobserved component models; EconomíaNote
The final publication is available at Springer via http://doi.org/10.1007/s11698-015-0135-0Rights
© 2015, Springer-Verlag Berlin HeidelbergAbstract
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 instead 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, primarily in the range of 4–7 years (Juglar-type cycles), and a number of patterns of cyclical convergence. We analyze the historical processes underlying this last empirical finding: Peacetime periods, monetary arrangements, trade and investment flows, and industrial boosts are confluent forces driving the economic dynamism. After 1950, we observe a common business cycle factor that groups all economies, which is consistent with the consolidation of the so-called second globalization
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Google Scholar:Cendejas, José Luis
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Muñoz Pérez, Félix Fernando
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Fernández-de-Pinedo, Nadia
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