Business cycles : an international comparison of stylized facts in a historical perspective

著者

    • Woitek, Ulrich

書誌事項

Business cycles : an international comparison of stylized facts in a historical perspective

Ulrich Woitek

(Contributions to economics)

Physica-Verlag, c1997

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注記

"A Springer-Verlag Company"--T. p

Includes bibliographical references (p. [197]-206) and index

内容説明・目次

内容説明

Subject is the description of unvariate and multivariate business cycle stylized facts. A spectral analysis method (Maximum Entropy spectral estimation) novel in the analysis of economic time series is described and utilized. The method turns out to be superior to widely used time domain methods and the "classical" spectral estimate, the periodogram. The results for eleven OECD countries confirm and extend the basic set of stylized facts of traditional business cycle theory. The changing characteristics of the business cycle are analyzed by comparing the cyclical structure for the postwar and the prewar period. The results show that business cycle is mainly due to investment fluctuations.

目次

1 Introduction.- I The Methodology.- 2 Illustrating the Methodology: The Case of Germany.- 2.1 Introduction.- 2.2 Visual Analysis.- 2.3 Time Domain Methods.- 2.4 The Frequency Domain.- 3 Spectral Analysis.- 3.1 Introduction.- 3.2 Spectral Measures.- 3.3 The Maximum-Entropy Spectrum.- 3.4 Parameter Estimation.- II Empirical Results.- 4 Business Cycle Stylized Facts in the OECD Countries.- 4.1 Overview.- 4.2 Postwar Period.- 4.2.1 Univariate Results.- 4.2.2 Multivariate Results.- 4.3 Prewar Period.- 4.3.1 Univariate Results.- 4.3.2 Multivariate Results.- 5 Conclusion.- A The Detrending Problem.- A.1 Spurious Cycles.- A.2 Persistence of Shocks.- A.3 Testing for Unit Roots.- A.3.1 The Dickey-Fuller Test.- A.3.2 Limitations of the Dickey-Fuller Test.- A.3.3 Structural Breaks.- B Tables.- B.1 Postwar Results.- B.2 Prewar Results.- References.

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詳細情報

  • NII書誌ID(NCID)
    BA31794296
  • ISBN
    • 3790809977
  • 出版国コード
    gw
  • タイトル言語コード
    eng
  • 本文言語コード
    eng
  • 出版地
    Heidelberg
  • ページ数/冊数
    x, 209 p.
  • 大きさ
    24 cm
  • 件名
  • 親書誌ID
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