IDENTIFIKACE HOSPODÁŘSKÉHO CYKLU

• Authors: Poměnková Jitka

Title variants

EN

Business cycle identification

• Languages of publication: CS

Abstracts

EN

Identification of growth business cycle is an important step in the process of business cycle analysis. It can affect following analytical steps such as turning points identification or analysis of frequency and time-frequency behaviour of business cycles. The purpose of this paper is to recommend suitable methods for growth business cycle modelling in the small open economy. Therefore we investigate several models for filtering (high pass and band pass filters), deterministic and stochastic models, and nonparametric kernel estimation. The recommendation is based on the empirical analysis of the data prior to the significant global shock – economic recession in the year 2008. For the analysis we use the seasonally adjusted quarterly values of the Gross Domestic Product and the Industrial production in 1996 – 2008.

Keywords

EN

BUSINESS CYCLE; BAND PASS FILTER; HIGH PASS FILTER; DETERMINISTIC MODEL; STOCHASTIC MODEL; KERNEL ESTIMATION

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2012
• Volume: 60
• Issue: 9
• Pages: 899 – 917

Contributors

author

Poměnková Jitka

• Vysoké učení technické, Fakulta elektrotechniky a komunikačních technologií, Ústav radioelektroniky, Purkyňova 118, 612 00 Brno, Czech Republic