Forecasting economic crisis using gradient measurement of development and log-logistic function

• Authors: Rafal Siedlecki , Daniel Papla
• Languages of publication: EN

Abstracts

EN

This paper shows that regardless of how good the economic situation is, sooner or later certain difficulties will appear. Hence, the idea has emerged to give the analytical form to the logistic law based gradient measurement (synthetic measure) of selected financial data, which enables forecasting crises and economic downturns. The presented proposal of determining the economic cycle and the model of forecasting using the modified logistic function (log-logistic function) was tested with use of data regarding the Polish economy

Keywords

EN

Law of growth, forecasting, economic crisis, time series analysis, warning signals, S-curve

• Publisher: Prague Development Center, Czech Republic
• Journal: Business and Economic Horizons
• Year: 2013
• Volume: 9
• Issue: 3
• Pages: 28-40

Dates

published

2013-10-25

Contributors

author

Rafal Siedlecki

author

Daniel Papla

References

• Ambler, S., Cardia, E., Zimmermann, C., 2004. "International Business Cycles: What are the Facts?", Journal of Monetary Economics, Vol. 51, pp. 257-276, http://dx.doi.org/10.1016/j.jmoneco.2003.03.001
• Berstein, J., 1989. The Analysis Forecasting of Long-Term Trends, Probus Books, Chicago
• BIS, 2009. "The international financial crisis: timeline, impact and policy responses in Asia and the Pacific", Bank for International Settlements (August)
• Brunnermeier, M., 2009. "Deciphering the liquidity and credit crunch 2007-2008", Journal of Economic Perspectives, Vol. 23, No. 1, pp. 77-100, http://dx.doi.org/10.1257/jep.23.1.77
• Burns, A., Mitchell, W., 1946. Measuring Business Cycles, NBER, New York
• Coffee, J.C., 2009. "What went wrong? An initial inquiry into the causes of the 2008 financial crisis", Journal of Corporate Law Studies, Vol. 9, No. 1, pp. 21-22
• Comin, D., Gertler M., 2006. "Medium-Term Business Cycles", American Economic Review, Vol. 96, No. 3, pp. 523-551, http://dx.doi.org/10.1257/aer.96.3.523
• Datta, A., Agarwal, S., 2004. "Telecommunications and economic growth: a panel data approach", Applied Economics, Vol. 36, pp. 1649-1654
• http://dx.doi.org/10.1080/0003684042000218552
• Davis, H.T., 1941. The Analysis of Economic Time Series, Principia Press, Bloomington
• Diebolt C., Doliger C., 2005, "Kuznets versus Kitchin, Juglar & Kondratieff Renewed Spectral Analysis of Comparative Growth of Per Capita GDP series in the OECD Countries in the Nineteenth and Twentieth Centuries", Working Paper, EconPapers
• Grodinsky, J., 1953. Investments, Part II, The Roland Press, New York
• Guillen, M.F., 2009. The Global Economic & Financial Crisis: A Timeline. The Lauder Institute, Wharton University
• Hellwig, Z., Siedlecki, J., 1989. "Loglogistic curve, properties and use for forecast of socioeconomic development" (in Polish), Prace Naukoznawcze i Prognostyczne 4
• Hubner, D., 1994. Koniunktura gospodarcza, PWE, Warszawa
• Kolb, R., 2010. Lessons from the Financial Crisis: Causes, Consequences, and Our Economic Future, Wiley, New York, http://dx.doi.org/10.1002/9781118266588
• Kurach, R., Stelmach, J., 2009, "Analyzing the financial markets linkages - the subprime crisis case", Research Papers of Wrocław University of Economics, No.59, pp. 260-268
• Kuznets, S., 1971. Economic Growth of Nations, Belknap, Harvard, http://dx.doi.org/10.4159/harvard.9780674493490
• Makridakis, S., Wheelwright, S.C., 1989. Forecasting Methods for Management, Wiley J. and Sons, New York
• Mar-Molinero, C., 1980. "Tractors in Spain: a Logistic Analysis. The Journal of the Operational Research Society", Vol. 31, No. 2, Feb, pp. 141-152
• Metcalfe, J.S., 2001. "Industrial Growth and the Theory of Retardation: Precursors of an Adaptive Evolutionary Theory of Economic Change", Working Paper
• Mintz I., 1972. Dating American Growth Cycles", NBER, New York
• Papla D., Siedlecki R., 2013. "Analysis of contagion in financial markets based on the gradient measurement of the growth in financial markets and conditional copula functions ", Working Paper, SSRN 2368456
• Prescott, E.C., Hansen, G., 2005. "Capacity Constraints, Asymmetries, and the Business Cycle", Review of Economic Dynamics 8, no. 4, pp. 850-865,http://dx.doi.org/10.1016/j.red.2005.08.001
• Prescott, R., 1922. "Laws of Growth in Forecasting Demand", Journal of the American Statistical Society, Vol. 18, pp. 471-479,http://dx.doi.org/10.1080/01621459.1922.10502490
• Robertson, T.B., 1923. The Chemical Basis of Growth and Senescence, J.B. Lippincot Co., Philadelphia
• Shiller, R.J., 2008. The subprime solution: how today's global financial crisis happened, and what to do about it, Princeton University Press, Princeton
• Siedlecka, U., 1996. Warning forecasts in economy (in Polish), PWE, Warszawa
• Siedlecki, R., 2006. Financial warning signals in company's cycle of life (in Polish), C.H. Beck, Warszawa
• Siedlecki, R., 2011. "Method of determining warning signals based on a company's financial cycle of live", Economics, Management and Financial Markets, Vol. 6, No.1
• Siedlecki, R., 2013. Forecasting Company Financial Distress Based on the Gradient Measurement of Development, Working Paper, SSRN 2374703
• Siedlecki, R., Papla, D., 2012. "Method of Forecasting Stock Market Data Based on Law of Growth", Proceedings, 2nd Stochastic Modeling Techniques and Data Analysis International Conference, T. 4, pp. 137-147
• Thieme, J., 2002. Tough times management (in Polish), Conference Board report, Warszawa.
• Verhulst, P.F., 1838. "Notice sur loi que la population suit dans son accroisment", Correspondence Mathematique et Phisique, Vol. 10, pp. 113-121.

Identifiers

URI

http://dx.doi.org/10.15208/beh.2013.11v