Second-order moments of frequency asymmetric cycles

Miguel Artiach ()

Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: Second-order moments, as even functions in time, are conventionally regarded as containing no information about the time irreversible nature of a sequence and therefore about its frequency asymmetry. However, this paper shows that the frequency asymmetry produces a clearly distinct behaviour in second-order moments that can be observed in both the time domain and the frequency domain. In addition, a frequency domain method of estimation of the differing lengths of the recessionary and expansionary stages of a cycle is proposed and its finite sample performance evaluated. Finally, the asymmetric patterns in the waves of the US unemployment rate and in the sunspot index are analysed.

Keywords: frequency asymmetry; time irreversibility; periodogram; correlogram; business cycle (search for similar items in EconPapers)
JEL-codes: C13 C22 E27 (search for similar items in EconPapers)
Pages: 56 pages
Date: 2011-12
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:2011-27

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