UAM_Biblioteca | Unified search engine | Scientific Production Portal | UAM Research Data Repository
Universidad Autónoma de Madrid
Biblos-e Archivo
We are onFacebookCanal BiblosYouTubeTwitterPinterestWhatsappInstagram
    • español
    • English
  • English 
    • español
    • English
  • Log in
JavaScript is disabled for your browser. Some features of this site may not work without it.

Search Biblos-e Archivo

Advanced Search

Browse

All of Biblos-e ArchivoCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsFacultiesThis CollectionBy Issue DateAuthorsTitlesSubjectsFaculties

My Account

Log inRegister

Statistics

View Usage Statistics

Help

Information about Biblos-e ArchivoI want to submit my workI want to submit my doctoral thesisFrequently Asked QuestionsCopyrightsFinancial Agencies and OA policy

UAM_Biblioteca

View Item 
  •   Biblos-e Archivo
  • 1 - Producción científica en acceso abierto de la UAM
  • Producción científica en acceso abierto de la UAM
  • View Item
  •   Biblos-e Archivo
  • 1 - Producción científica en acceso abierto de la UAM
  • Producción científica en acceso abierto de la UAM
  • View Item

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

Author
Cendejas, José Luis; Muñoz Pérez, Félix Fernandountranslated; Fernández-de-Pinedo, Nadia
Entity
UAM. Departamento de Análisis Económico, Teoría Económica e Historia Económica
Publisher
Springer Verlarg
Date
2017-01-01
Citation
10.1007/s11698-015-0135-0
Cliometrica 11.1 (2017): 93-125
 
 
 
ISSN
1863-2505 (print); 1863-2513 (online)
DOI
10.1007/s11698-015-0135-0
Funded 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 IT807-13
Project
Gobierno de España. CSO2014-53293-R; Gobierno de España. HAR 2012-35965/His
Editor's Version
http://doi.org/10.1007/s11698-015-0135-0
Subjects
Historical business cycles; Maddison’s time series; Spectral analysis; Unobserved component models; Economía
URI
http://hdl.handle.net/10486/678236
Note
The final publication is available at Springer via http://doi.org/10.1007/s11698-015-0135-0
Rights
© 2015, Springer-Verlag Berlin Heidelberg

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 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
Show full item record

Files in this item

Thumbnail
Name
contribution_cendejas_cliometrica_2017_ps.pdf
Size
1.141Mb
Format
PDF

Refworks Export

Delicious Save this on Delicious

Google™ Scholar:Cendejas, José Luis - Muñoz Pérez, Félix Fernando - Fernández-de-Pinedo, Nadia

This item appears in the following Collection(s)

  • Producción científica en acceso abierto de la UAM [14764]

Related items

Showing items related by title, author, creator and subject.

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

    Cendejas, José Luis; Fernández de Pinedo Echevarría, NadiaAutoridad UAM; Muñoz Pérez, Félix FernandoAutoridad UAM
    2015
  • Recent trends in publications of economic historians in Europe and North America (1980–2019): an empirical analysis 

    Fernández de Pinedo Echevarría, NadiaAutoridad UAM; La Parra Perez, Alvaro; Muñoz Pérez, Félix FernandoAutoridad UAM
    2022-02-15
  • Intentionality and technological and institutional change: Implications for economic development 

    Muñoz Pérez, Félix FernandoAutoridad UAM; Encinar del Pozo, María IsabelAutoridad UAM; Fernández-de-Pinedo, Nadia
    2014
All the documents from Biblos-e Archivo are protected by copyrights. Some rights reserved.
Universidad Autónoma de Madrid. Biblioteca
Contact Us | Send Feedback
We are onFacebookCanal BiblosYouTubeTwitterPinterestWhatsappInstagram
 

 

All the documents from Biblos-e Archivo are protected by copyrights. Some rights reserved.
Universidad Autónoma de Madrid. Biblioteca
Contact Us | Send Feedback
We are onFacebookCanal BiblosYouTubeTwitterPinterestWhatsappInstagram