Time and frequency domain in the business cycle structure

Jitka Poměnková and Roman Marsalek ()
Additional contact information
Roman Marsalek: Department of Radio Electronics, Faculty of Electrical Engineering and Communication, Brno University of Technology

No 2011-07, MENDELU Working Papers in Business and Economics from Mendel University in Brno, Faculty of Business and Economics

Abstract: The paper deals with identification of cyclical behaviour of business cycle from time and frequency domain perspectives. Herewith, commonly used methods for obtaining growth business cycle are investigated - the first order difference, the unobserved component models, regression curves and filtration using Baxter-King and Christiano-Fitzgerald band-pass filters as well as Hodrick-Prescott high-pass filter. In the case of time domain analysis identification of cycle lengths is based on dating process of the growth business cycle. For this reason, methods such right and left variant of naive techniques as well as Bry-Boschan algorithm are applied. In the case frequency domain analysis of cyclical structure trough spectrum estimate via periodogram and autoregressive process with optimum lag are suggested. Results from both domain approaches are compared. On their bases recommendation for cyclical structure identification of growth business cycle of the transition economy type (the Czech Republic) are formulated. In the context of the time domain analysis evaluation of unity results of de-trending techniques from identification turning point points of view is attached. All analyses are done on the quarterly data of the gross domestic product, the total industry excluding construction, the gross capital formation in the period 1996/Q1-2008/Q4 and on the final consumption expenditure in the period 1995/Q1-2008/Q4.

Keywords: spectrum; business cycle; transition economy; frequency domain; time domain (search for similar items in EconPapers)
JEL-codes: C16 C5 C6 E32 (search for similar items in EconPapers)
Pages: 24
Date: 2011-04
New Economics Papers: this item is included in nep-ets, nep-mac and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://ftp.mendelu.cz/RePEc/men/wpaper/07_2011.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:men:wpaper:07_2011

Access Statistics for this paper

More papers in MENDELU Working Papers in Business and Economics from Mendel University in Brno, Faculty of Business and Economics Contact information at EDIRC.
Bibliographic data for series maintained by Luděk Kouba ().