Time and frequency domain in the business cycle structure

Time and frequency domain in the business cycle structure

Článek recenzovaný mimo WoS a Scopus

Th e presented paper deals with the identifi cation of cyclical behaviour of business cycle from the time and frequency domain perspective. Herewith, methods for obtaining the growth business cycle are investigated – the fi rst order diff erence, the unobserved component models, the regression curves and fi ltration using the Baxter-King, Christiano-Fitzgerald and Hodrick-Prescott fi lter. In the case of the time domain, the analysis identifi cation of cycle lengths is based on the dating process of the growth business cycle. Th us, the right and left variant of the naive techniques and the Bry-Boschan algorithm are applied. In the case of the frequency domain, the analysis of the cyclical structure trough spectrum estimate via the periodogram and the autoregressive process are suggested. Results from both domain approaches are compared. On their bases, recommendations for the cyclical structure identifi cation of the growth business cycle of the Czech Republic are formulated. In the time domain analysis, the evaluation of the unity results of detrending techniques from the identifi - cation turning point points of view is attached. Th e analyses are done on the quarterly data of the GDP, the total industry excluding construction, the gross capital formation in 1996–2008 and on the fi nal consumption expenditure in 1995–2008.

Th e presented paper deals with the identifi cation of cyclical behaviour of business cycle from the time and frequency domain perspective. Herewith, methods for obtaining the growth business cycle are investigated – the fi rst order diff erence, the unobserved component models, the regression curves and fi ltration using the Baxter-King, Christiano-Fitzgerald and Hodrick-Prescott fi lter. In the case of the time domain, the analysis identifi cation of cycle lengths is based on the dating process of the growth business cycle. Th us, the right and left variant of the naive techniques and the Bry-Boschan algorithm are applied. In the case of the frequency domain, the analysis of the cyclical structure trough spectrum estimate via the periodogram and the autoregressive process are suggested. Results from both domain approaches are compared. On their bases, recommendations for the cyclical structure identifi cation of the growth business cycle of the Czech Republic are formulated. In the time domain analysis, the evaluation of the unity results of detrending techniques from the identifi - cation turning point points of view is attached. Th e analyses are done on the quarterly data of the GDP, the total industry excluding construction, the gross capital formation in 1996–2008 and on the fi nal consumption expenditure in 1995–2008.

spektrum, hospodářský cyklus, frekvenční doména, časová doména

spektrum, hospodářský cyklus, frekvenční doména, časová doména

POMĚNKOVÁ, J.; MARŠÁLEK, R.

2013

03.09.2012

Agric. Econ.

Praha

0139-570X

Agricultural Economics-Zemedelska Ekonomika

2012

7

Česká republika

332

346

15