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Comment on "Stock markets and business cycle comovement in Germany before world war I: Evidence from spectral analysis"

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  • Metz, Rainer

Abstract

This comment is focused mainly on the assumption that the HP filter is appropriate for isolating the cyclical component inherent in the time series investigated. It is argued that mechanical filtering can easily generate a spurious impression of cyclical behaviour. Estimating the cyclical component also requires analysis of the trend characteristics of the time series under investigation as well as the existence of irregularities in the data generating process. Different business cycle estimation methods are used to judge the robustness of the results for the NNP income series and the stock market index.

Suggested Citation

  • Metz, Rainer, 2009. "Comment on "Stock markets and business cycle comovement in Germany before world war I: Evidence from spectral analysis"," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 58-67, March.
    • Handle: RePEc:eee:jmacro:v:31:y:2009:i:1:p:58-67
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    Cited by:

    1. Łukasz Lenart & Mateusz Pipień, 2017. "Non-Parametric Test for the Existence of the Common Deterministic Cycle: The Case of the Selected European Countries," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(3), pages 201-241, September.
    2. Matthias Morys & Martin Ivanov, 2015. "The emergence of a European region: business cycles in South-East Europe from political independence to World War II," European Review of Economic History, European Historical Economics Society, vol. 19(4), pages 382-411.
    3. Marco Gallegati & Mauro Gallegati & James B. Ramsey & Willi Semmler, 2017. "Long waves in prices: new evidence from wavelet analysis," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 11(1), pages 127-151, January.
    4. Lukasz Lenart, 2015. "Discrete Spectral Analysis. The Case of Industrial Production in Selected European Countries," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 27-47.

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