Dating and Exploration of the Business Cycle in Iceland

Wolfgang Polasek

Working Paper series from Rimini Centre for Economic Analysis

Abstract: The paper explores the quarterly sequence of business cycles in Iceland for 40 years between 1970 and 2009 using the business cycle technique of Leamer (2009). We apply first a turning point (TP) dating identification procedure based on the Hendrick-Prescott (HP) filter of the quarterly growth rates of GDP and then we use different candidates for leading indicators for turning points. We find that the Iceland economy has a rather short business cycle of about 3 years and most macroeconomic indicators are in accordance with the business cycles. Only a few indicators have a predictive potential, some variables like consumption show a one quarter lag. Furthermore, we apply the concept of abnormal contributions to growth for candidates as a leading indicator of turning points. We find that over the last decade there is some evidence that abnormal growth contributions are better indicators for troughs than for peaks.

Keywords: Business Cycle dating; HP filtering; exploratory turning point analysis; lead and lag indicators; abnormal growth contributions; gross domestic product (GDP) growth (search for similar items in EconPapers)
JEL-codes: E32 E60 G01 (search for similar items in EconPapers)
Date: 2010-01
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:13_10

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