BUSINESS CYCLE SYNCHRONIZATION IN POLISH ECONOMY AND OIL MARKET IN THE YEAR 2000-2013

Andrzej Geise ()
Additional contact information
Andrzej Geise: Nicolaus Copernicus University

No 3/2013, Working Papers from Institute of Economic Research

Abstract: 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
References: Add references at CitEc
Citations:

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

Downloads: (external link)
http://www.badania-gospodarcze.pl/images/Working_Papers/2013_No_3.pdf First version, 2013 (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:pes:wpaper:2013:no3

Access Statistics for this paper

More papers in Working Papers from Institute of Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Adam P. Balcerzak ( this e-mail address is bad, please contact ).