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Type | Working Paper |
Scope | Discipline-based scholarship |
Title | Economic Growth and Business Cycles: A Critical Comment on Detrending Time Series - REVISED VERSIO |
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Institution | University of Zurich |
Series Name | Working paper series / Institute for Empirical Research in Economics |
Number | No. 54 |
ISSN | 1424-0459 |
Date | 2001 |
Abstract Text | In this paper we pursue an approach based on economic theory to illustrate possible shortcomings of widely-used detrending methods. Wenanalyze a simple model of economic growth and business cycles in which investment and technical progress are stochastic. The Hodrick-Prescottnand the Baxter-King filter are shown to detect spurious business cycles which are not related to actual cycles in the model. Our results cast doubts on the validity of commonly-accepted stylized business cycle facts. We also discuss the relation of business-cycle dating based on indicators of economic activity, as e.g. applied by the NBER, and the detrending results. |
Official URL | http://www.econ.uzh.ch/wp.html |
PDF File | Download from ZORA |
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