Recurrence quantification analysis of business cycles

Giuseppe Orlando and Giovanna Zimatore

Chaos, Solitons & Fractals, 2018, vol. 110, issue C, 82-94

Abstract: This paper investigates, by means of recurrence quantification analysis, the characteristics of trade cycles and economic development. Trade cycles are complex phenomena oscillating because of economic downturns and expansions. In this paper the features of the underlying dynamics are studied over an extensive dataset e.g. Levy and Chen, OECD, BEA, etc. It is shown that recurrence quantification analysis can be suitably applied to economics and, therefore, may help in anticipating transitions from laminar (i.e. regular) to turbulent (i.e. chaotic) phases such as USA GDP in 1949, 1953, etc. Moreover, recurrence quantification analysis detects differences between macroeconomic variables, and highlights hidden features of economic dynamics.

Keywords: Determinism; Numerical chaos; Economic dynamics; Business fluctuations; Cycles (search for similar items in EconPapers)
JEL-codes: C61 E32 E37 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Chapter: Recurrence Quantification Analysis of Business Cycles (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:110:y:2018:i:c:p:82-94

DOI: 10.1016/j.chaos.2018.02.032

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