Download Business Cycles: An International Comparison of Stylized by Ulrich Woitek PDF

By Ulrich Woitek

Subject is the outline of unvariate and multivariate company cycle stylized proof. A spectral research procedure (Maximum Entropy spectral estimation) novel within the research of monetary time sequence is defined and applied. the tactic seems to be stronger to favourite time area tools and the "classical" spectral estimate, the periodogram. the implications for 11 OECD nations ascertain and expand the fundamental set of stylized evidence of conventional enterprise cycle concept. The altering features of the enterprise cycle are analyzed by means of evaluating the cyclical constitution for the postwar and the prewar interval. the implications express that enterprise cycle is especially because of funding fluctuations.

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The long cycle is not as strongly dampened as the short cycle. Looking at the component series, we see that both cycles are present in the investment series. The long cycle has a higher modulus in GFCF, while the short cycle is more distinct in II. The cyclical structure of the other components is dominated by the long cycle, with the exception of EX. 5). 4. 40 2. 74 GDP GFCF II The AR-models exhibit the same cyclical characteristics we found for the German GDP and its components by means of the periodogram.

E. a series for which the mean and the variance do not change over time. But most modern economic time series are not stationary, they exhibit a more or less obvious trend. Before the spectrum of the series can be computed, the nature of the non-stationarity has to be examined, and then, the series has to be transformed in an appropriate way in order to achieve stationarity.

The highest SNRs can be found for CP and GFCF (SNR=13-14), while EX is the series with the lowest SNR (SNR=5). Summing up, we see a long cycle of about 7-8 years length and a short 23 Hodrick-Prescott filter, see Appendix A. 4 The Frequency Domain 43 cycle with a length of 3-5 years in the spectra of the German GDP and its components. The short cycle in GDP is too strongly dampened to exhibit a distinct peak. These cycles are most prominent in the spectra of the investment series. The cyclical structure of fixed investment is dominated by the long cycle, while the short cycle is most important in the inventories.

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