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Regina Kaiser, Agustin Maravall

Measuring Business Cycles in Economic Time Series (Lecture Notes in Statistics (Springer-Verlag), 154)

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ISBN: 0387951121
Издательство: Springer-Verlag Telos
The book centers on the problem of measuring business cycles in economic time series. Business cycle assessment is crucial to monitoring the economy, as well as to the conduct of macroeconomic policy, but decades of research have shown that the modellingof economic cycles is a frustrating issue. As a consequence, the estimation of actual business cycles relies on relatively simple filters that remove from the series the long-term trend. Over the last decade there has been a convergence towards the use of a filter suggested by Hodrick and Prescott (HP). The present paradigm, in actual practice, is to estimate the cycle with the HP filter applied to X11-seasonally adjusted series. The procedure has been the subject of academic criticism that has pointed out the risk of obtaining spurious cycles, mostly associated with the empirical and fixed nature of the filter. The filter also is known to present some serious drawbacks such as unstable estimation for recent years so that concurrent...
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