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Robust Stylized Facts on Comovement for the Spanish Economy

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Abstract

In this article we further develop the suggestion of obtaining stylized facts on comovement on the basis of prewhitened time series proposed in André, Pérez and Martín (2002). Firstly, we show some examples on the robustness of the method. Secondly, we test the relevance of such a proposal by revisiting some of the existing stylized facts on comovement for the Spanish economy in Dolado, Sebastián and Vallés (1993).

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Paper provided by Centro de Estudios Andaluces in its series Economic Working Papers at Centro de Estudios Andaluces with number E2003/02.

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Length: 26 pages
Date of creation: 2003
Date of revision:
Handle: RePEc:cea:doctra:e2003_02

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Keywords: Stylized Facts; Comovement; Cross Correlation Function; HP-Filter; Prewhitening;

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  1. Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  2. Canova, Fabio, 1993. "Detrending and Business Cycle Facts," CEPR Discussion Papers, C.E.P.R. Discussion Papers 782, C.E.P.R. Discussion Papers.
  3. Fiorito, Riccardo & Kollintzas, Tryphon, 1992. "Stylized Facts of Business Cycles in the G7 from a Real Business Cycles Perspective," CEPR Discussion Papers, C.E.P.R. Discussion Papers 681, C.E.P.R. Discussion Papers.
  4. Juan J. Dolado & Miguel Sebastián & Javier Vallés, 1993. "Cyclical Patterns of the Spanish Economy," Banco de Espa�a Working Papers, Banco de Espa�a 9324, Banco de Espa�a.
  5. Finn E. Kydland & Edward C. Prescott, 1990. "Business cycles: real facts and a monetary myth," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Spr, pages 3-18.
  6. Juan J. Dolado & Miguel Sebastián & Javier Vallés, 1993. "Cyclical Patterns of the Spanish Economy," Banco de Espa�a Working Papers, Banco de Espa�a 9324, Banco de Espa�a.
  7. Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 8(3), pages 231-47, July-Sept.
  8. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
  9. Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 5(1), pages 7-29, January.
  10. Andre, Francisco J. & Perez, Javier J. & Martin, Ricardo, 2002. "Computing white stylized facts on comovement," Economics Letters, Elsevier, Elsevier, vol. 76(1), pages 65-71, June.
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Cited by:
  1. Ana Lamo & Javier J. Pérez & Ludger Schuknecht, 2013. "The cyclicality of consumption, wages and employment of the public sector in the euro area," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 45(12), pages 1551-1569, April.
  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, Centro de Estudios Andaluces E2010/08, Centro de Estudios Andaluces.
  3. Soledad Feal Zubimendi & Mara Rojas & Mariana Inés Zilio, 2009. "Stylized Facts for the Argentine Economy," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, Central Bank of Argentina, Economic Research Department, vol. 1(56), pages 157-210, October -.

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