Not logged in.

Contribution Details

Type Working Paper
Scope Discipline-based scholarship
Title Economic Growth and Business Cycles: A Critical Comment on Detrending Time Series - REVISED VERSIO
Organization Unit
Authors
  • Klaus Reiner Schenk-Hoppé
Language
  • English
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
Export BibTeX
EP3 XML (ZORA)