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Detrending methods and stylized facts of business cycles in Norway - an international comparison

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  • Hilde Christiane BjÛrnland

    ()
    (Department of Economics, University of Oslo, P.O. Box 1095 Blindern, N-0317 Oslo, Norway.)

Abstract

This paper analyses the stylized facts of business cycles in Norway, by comparing different detrending methods. As the choice of the appropriate data transformation depends on the nature of the underlying dynamic properties of the time series, a set of unit root tests are first applied to the data. The detrended data are analysed, both in the time domain and the frequency domain. The evidence suggests that whereas some variables (e.g. consumption and investment) behave consistently procyclically with GDP, for other variables (e.g. real wage and prices), the business cycle properties vary considerably with the detrending methods used. The results are evaluated from a real business cycle perspective, but overall, there is little evidence to support a (supply driven) real business cycle. Symmetries in business cycles are finally analysed by comparing the business cycles in Norway and selected countries.

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 25 (2000)
Issue (Month): 3 ()
Pages: 369-392

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Handle: RePEc:spr:empeco:v:25:y:2000:i:3:p:369-392

Note: received: April 1997 / Final version received: November 1999
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Related research

Keywords: Unit roots · trend-cycle estimation · stylized facts · real business cycles;

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Cited by:
  1. Mark Meyer & Peter Winker*, 2005. "Using HP Filtered Data for Econometric Analysis: Some Evidence from Monte Carlo Simulations," AStA Advances in Statistical Analysis, Springer, vol. 89(3), pages 303-320, August.
  2. Anelí Bongers & José L. Torres & Jesús Rodríguez, 2010. "Caracterización del ciclo económico en Andalucía 1980 - 2008," Economic Working Papers at Centro de Estudios Andaluces E2010/08, Centro de Estudios Andaluces.
  3. Chetan Ghate & Radhika Pandey & Ila Patnaik, 2011. "Has India emerged? Business cycle stylized facts from a transitioning economy," Indian Statistical Institute, Planning Unit, New Delhi Discussion Papers 11-05, Indian Statistical Institute, New Delhi, India.
  4. Tatiana Cesaroni, 2011. "The cyclical behavior of the Italian business survey data," Empirical Economics, Springer, Springer, vol. 41(3), pages 747-768, December.
  5. Bjørnland, Hilde C. & Brubakk, Leif & Jore, Anne Sofie, 2006. "Forecasting inflation with an uncertain output gap," Memorandum 11/2006, Oslo University, Department of Economics.
  6. Ghate, Chetan & Pandey, Radhika & Patnaik, Ila, 2011. "Has India emerged? Business cycle facts from a transitioning economy," Working Papers, National Institute of Public Finance and Policy 11/88, National Institute of Public Finance and Policy.
  7. C. Emre Alper, 2000. "Stylized Facts of Business Cycles, Excess Volatility and Capital Flows: Evidence from Mexico and Turkey," Working Papers 2000/11, Bogazici University, Department of Economics.
  8. Ahmed, Junaid & Martinez-Zarzoso, Inmaculada, 2013. "Blessing or curse: The stabilizing role of remittances, foreign aid and FDI to Pakistan," Center for European, Governance and Economic Development Research Discussion Papers 153, University of Goettingen, Department of Economics.

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