Nonparametric Band Business Cycle Clock Cover Image

Koncepcja wstęgowego zegara cyklu koniunkturalnego w ujęciu nieparametrycznym
Nonparametric Band Business Cycle Clock

Author(s): Łukasz Lenart, Mateusz Pipień
Subject(s): Economy, Supranational / Global Economy
Published by: Główny Urząd Statystyczny
Keywords: business cycle clock; filtration; almost periodically correlated processes

Summary/Abstract: We discuss representation of uncertainty in the business cycle clock. We propose approach utilising description of the unconditional mean of the process, applied for modelling dynamics of macroeconomic time series, as a trend component and almost period function in a non-parametric setting. We capture the dynamics over the business cycle, trend component and seasonal fluctuations and possible interactions between these features. A particular values of the almost periodic function are key for representation of the business cycle in a clock, expressing the dynamics according to phase diagram. The set of frequencies interpreted as a properties of the business fluctuations are invariant with respect to filtration methods applied in the procedure.

  • Issue Year: 63/2016
  • Issue No: 4
  • Page Range: 375-390
  • Page Count: 16
  • Language: Polish