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Is the Romanian Business Cycle Characterized by Chaos?

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  • Caraiani, Petre

    ()
    (Institute for Economic Forecasting, Romanian Academy)

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    Abstract

    I compare the two alternative paradigms of business cycles for the case of the Romanian economy, namely the mainstream view that business cycles are driven by stochastic shocks and the nonlinear view, known as the endogenous business cycles theory, which states that business cycles are driven by deterministic processes. The comparison is based on the run of several tests for nonlinearity and chaos, such as the BDS test or the maximum Lyapunov exponent.

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    Bibliographic Info

    Article provided by Institute for Economic Forecasting in its journal Journal for Economic Forecasting.

    Volume (Year): (2012)
    Issue (Month): 3 (September)
    Pages: 142-151

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    Handle: RePEc:rjr:romjef:v::y:2012:i:3:p:142-151

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    Related research

    Keywords: business cycles; nonlinear analysis; chaos; endogenous business cycles;

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    1. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-70, November.
    2. Grandmont Jean-michel, 1983. "On endogenous competitive business cycles," CEPREMAP Working Papers (Couverture Orange) 8316, CEPREMAP.
    3. Takala, Kari & Viren, Matti, 1996. "Chaos and nonlinear dynamics in financial and nonfinancial time series: Evidence from Finland," European Journal of Operational Research, Elsevier, vol. 93(1), pages 155-172, August.
    4. Brock, W.A., 1988. "Nonlinearity And Complex Dynamics In Economics And Finance," Working papers 360, Wisconsin Madison - Social Systems.
    5. Albu, Lucian Liviu, 2001. "Evolution Of Inflation-Unemployment Relationship In The Perspective Of Romania’S Accession To Eu," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-23, December.
    6. Barnett, William A. & Ronald Gallant, A. & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1995. "Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size," Journal of Economic Behavior & Organization, Elsevier, vol. 27(2), pages 301-320, July.
    7. Scheinkman, Jose A, 1990. "Nonlinearities in Economic Dynamics," Economic Journal, Royal Economic Society, vol. 100(400), pages 33-48, Supplemen.
    8. Purica, Ionut & Caraiani, Petre, 2009. "Second Order Dynamics Of Economic Cycles," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 6(1), pages 36-47, March.
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