Measuring business cycles: A wavelet analysis of economic time series

被引：68

作者：

Yogo, Motohiro ^{[1
,2
]}

机构：

[1] Univ Penn, Wharton Sch, Dept Finance, Philadelphia, PA 19104 USA

[2] Natl Bur Econ Res, Cambridge, MA 02138 USA

来源：

ECONOMICS LETTERS | 2008年 / 100卷 / 02期

关键词：

band-pass filter; business cycle; linear filter; trend; wavelets;

D O I：

10.1016/j.econlet.2008.01.008

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Multiresolution wavelet analysis is a natural way to decompose an economic time series into trend, cycle, and noise. The method is illustrated with GDP data. The business-cycle component of the wavelet-filtered series closely resembles the series filtered by the approximate bandpass filter. (C) 2008 Elsevier B. V. All rights reserved.

引用

页码：208 / 212

页数：5

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