Slow Booms and Deep Busts: 160 Years of Business Cycles in Spain

2017 ◽  
Vol 68 (2) ◽  
Author(s):  
Thomas Gries ◽  
Marlon Fritz ◽  
Yuanhua Feng
Keyword(s):  
Time Series ◽  
Business Cycles ◽  
Business Cycle ◽  
Nonparametric Regression ◽  
Bandwidth Selection ◽  
Smoothing Parameter ◽  
Cycle Decomposition ◽  
Trend Estimation ◽  
Macroeconomic Time Series ◽  
Trend And Cycle Decomposition

AbstractThis paper introduces an economically important new idea for detrending macroeconomic time series and examines the Spanish business cycle pattern with respect to potential asymmetries. To address difficulties in the trend and cycle decomposition, a nonparametric trend estimation approach is introduced and exemplary applied to the Spanish GDP data for the period 1850 to 2015. The application of an iterative plug-in (IPI) algorithm for endogenous bandwidth selection solves the problem of choosing an adequate smoothing parameter for nonparametric regression. The algorithm identifies continuously

scholarly journals Business Cycles in Algerian Economy: A Bayesian DSGE Approach

2018 ◽  
Vol 2 (1) ◽  
pp. 72-100
Author(s):  
Abdelsalam BOUKHEROUFA
Keyword(s):  
Time Series ◽  
Business Cycles ◽  
Business Cycle ◽  
Equilibrium Model ◽  
Government Spending ◽  
Aggregate Demand ◽  
Dynamic Stochastic General Equilibrium ◽  
Business Cycle Fluctuations ◽  
Output Fluctuations ◽  
Dynamic Stochastic

The main objective of this paper is to highlight the most important shocks that drives the business cycles in the Algerian economy. Using Bayesian estimation techniques, we estimate a dynamic stochastic general equilibrium model (DSGE) using four time series of the Algerian macroeconomics. Through this estimated model, which succeeded in capturing the dynamics of the Algerian economy data, we found three main results: First, the main causes of business cycle fluctuations in the Algerian economy are aggregate demand shocks. Second, the of government spending shock play the most important role in output fluctuations. Third, empirical results show evidences of procyclical in government spending policies.

Zur Evolution des deutschen Konjunkturzyklus 1958-2004 / On the Evolution of German Business Cycles 1958-2004

2008 ◽  
Vol 228 (1) ◽  
Author(s):  
Ullrich Heilemann ◽  
Roland Schuhr
Keyword(s):  
Time Series ◽  
Discriminant Analysis ◽  
Business Cycles ◽  
Business Cycle ◽  
Linear Discriminant Analysis ◽  
Turning Point ◽  
Classification Methods ◽  
The West ◽  
Linear Discriminant ◽  
Macroeconomic Variables

SummaryThis paper examines changes of the (West) German business cycle from 1958 to 2004. It starts with a multivariate linear discriminant analysis (LDA) based decomposition of the cycle into 4 phases (upswing, upper turning point, downswing, lower turning point). After examining inter-cyclical changes of the cycle, i.e. changes of the weights of the 12 macroeconomic variables employed for classification, the question of intra-cyclical changes is addressed. This is done by using DLDA, a new dynamic variant of LDA which exploits the time series character of the data used to analyse changes of the multivariate structure of the cycle. The DLDA results exemplify that the transition from one to the next phase is much smoother and more continuous than might be expected. Within the sample examined these movements vary as well as the weights attributed to the classifying variables. In a methodological perspective DLDA turns out to be a promising broadening of classification methods.

scholarly journals Continuing integration in Europe? Some empirical evidence on European industrial production cycle

2012 ◽  
Vol 60 (7) ◽  
pp. 233-242
Author(s):  
Petr Rozmahel ◽  
Nikola Najman
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Industrial Production ◽  
Cross Correlation ◽  
Research Question ◽  
Production Cycle ◽  
European Business ◽  
Macroeconomic Time Series ◽  
The Common ◽  
Original Measure

The paper deals with assessing the common trends in business cycle similarity and convergence in Europe. The main goal of the paper is to identify common cyclical co-movements and trends in convergence among the European countries so that the emerging European business cycle could be identified. Concerning the factors of business cycle, the research question of the paper is based on assumption that the integration effects are so dominant to bring the European cycle into existence. Also a potential influence of the global crisis on European and world business cycles is examined in the paper. The industrial production index is used to approximate business cycles. Hodrick-Prescott filter, Christiano-Fitzgerald filter and first differencing were used to dissect the cyclical components and identify the cycles in the data. The co-movements, trends of convergence and divergence of business cycles are identified using correlation analysis. Particularly, actual cross correlation and historical correlation in separated subsequent periods is applied in the analysis. Also an original measure of the European business cycle emergence was applied. The results do not provide an evidence of emerging European business cycle contrary to US cycle. The global economic crises was identified as a kind of negative symmetric shock pushing all major economies towards the recession phase of the cycle und thus increasing similarity. The results also shed some light on an influence of different detrending techniques when dissecting the cycles from the input macroeconomic time series.

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