BUSINESS CYCLE SYNCHRONIZATION IN POLISH ECONOMY AND OIL MARKET IN THE YEAR 2000-2013
Andrzej Geise ()
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Andrzej Geise: Nicolaus Copernicus University
No 3/2013, Working Papers from Institute of Economic Research
The paper presents the main conclusions of the analysis of business cycle synchronization in the oil market with economic and stock market cycles in Poland. The study was based on 158 monthly observations from the period from January 2000 to February 2013. The main data source were stooq.pl database. The study was conducted on the basis of monthly data, which were purified from the seasonal component. To remove the seasonal component, method TRAMO/SEATS was using. Then the use two kind of filters, i.e., additive Hodrick-Prescott filter and bandpass filter Christiano-Fitzgerald to decomposed time series. To analyze dominant frequency fluctuation the spectral analysis was using. In Polish economy dominant frequency fluctuation amount to 40 month and 6-7 years. In oil market, the dominant frequency fluctuation amount to 6 years, 3 years and 23 month. Based on the results of cross-spectral analysis may indicate that the business cycles of Polish economy and the oil market are synchronized to an average degree.
Keywords: business cycle; spectral analysis; Hodrick-Prescott decomposition; Christiano-Fitzgerald decomposition (search for similar items in EconPapers)
Pages: 22 pages
Date: 2013-02, Revised 2013-05
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Published in Problemy gospodarki swiatowej TOM IV, edited by Magdalena Kuczmarska, Ilona Pietryka, Institute of Economic Research and Polish Economic Society Branch in Torun, Torun 2014
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Persistent link: https://EconPapers.repec.org/RePEc:pes:wpaper:2013:no3
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