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Duration of Business Cycles

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  • Everts, Martin

Abstract

In this paper the Bry and Boschan (1971) procedure is modified such that it can be applied to quarterly data in order to recalculate the maximum duration of business cycles. In this way it can be shown that the maximum duration of business cycles constitutes 42 quarters in the United States of America and 49 quarters in the United Kingdom. The large difference to the maximum duration of Burns and Mitchell (1946) makes clear that caution is advisable with the application of the filters by Baxter and King (1999) and Christiano and Fitzgerald (2003). If one chooses the maximum duration too low (high), the amplitude of the medium-term business cycles is underestimated (overestimated) and the variability of the growth rate of the long-term trend is overestimated (underestimated).

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 1219.

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Date of creation: Apr 2006
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Handle: RePEc:pra:mprapa:1219

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Related research

Keywords: Duration; Business Cycles; Dating Turning Points; Non-Parametric Procedure; Minimum Duration; Maximum Duration; Band-Pass Filter;

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References

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  1. Edward C. Prescott, 1986. "Theory ahead of business cycle measurement," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 9-22.
  2. James H. Stock & Mark W. Watson, 1998. "Business Cycle Fluctuations in U.S. Macroeconomic Time Series," NBER Working Papers 6528, National Bureau of Economic Research, Inc.
  3. Andrew J. Filardo & Stephen F. Gordon, 1993. "Business cycle durations," Research Working Paper 93-11, Federal Reserve Bank of Kansas City.
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  7. Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band Pass Filter," NBER Working Papers 7257, National Bureau of Economic Research, Inc.
    • Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, 05.
  8. King, Robert G. & Plosser, Charles I., 1994. "Real business cycles and the test of the Adelmans," Journal of Monetary Economics, Elsevier, vol. 33(2), pages 405-438, April.
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  14. King, Robert G. & Rebelo, Sergio T., 1993. "Low frequency filtering and real business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 17(1-2), pages 207-231.
  15. Diebold, Francis X & Rudebusch, Glenn D, 1990. "A Nonparametric Investigation of Duration Dependence in the American Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 98(3), pages 596-616, June.
  16. Watson, Mark W., 1986. "Univariate detrending methods with stochastic trends," Journal of Monetary Economics, Elsevier, vol. 18(1), pages 49-75, July.
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  19. Bergman, Michael, 2004. "How Similar Are European Business Cycles?," Working Papers 2004:9, Lund University, Department of Economics.
  20. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, July.
  21. Everts, Martin, 2006. "Band-Pass Filters," MPRA Paper 2049, University Library of Munich, Germany.
  22. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
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Cited by:
  1. Harun Alp & Yusuf Soner Baskaya & Mustafa Kilinc & Canan Yuksel, 2011. "Turkiye Icin Hodrick-Prescott Filtresi Duzgunlestirme Parametresi Tahmini," CBT Research Notes in Economics 1103, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  2. Sana Souaid Jad, 2011. "The use of surveys to measure sentiment and expected behaviour of key sectors in the economy: evidence from the business survey conducted by the Central Bank of Lebanon," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 248-277 Bank for International Settlements.
  3. Helmut Herwartz & Konstantin A. Kholodilin, 2011. "In-Sample and Out-of-Sample Prediction of Stock Market Bubbles: Cross-Sectional Evidence," Discussion Papers of DIW Berlin 1173, DIW Berlin, German Institute for Economic Research.
  4. John Maloney & Andrew Pickering, . "Voting and the macroeconomy: separating trend from cycle," Discussion Papers 11/14, Department of Economics, University of York.
  5. Balázs Égert, 2012. "Fiscal Policy Reaction to the Cycle in the OECD: Pro- or Counter-cyclical?," EconomiX Working Papers 2012-12, University of Paris West - Nanterre la Défense, EconomiX.
  6. Balazs Egert & Douglas Sutherland, 2012. "The Nature of Financial and Real Business Cycles: The Great Moderation and Banking Sector Pro-Cyclicality," CESifo Working Paper Series 3824, CESifo Group Munich.
  7. Harun Alp & Yusuf Soner Baskaya & Mustafa Kilinc & Canan Yuksel, 2012. "Stylized Facts for Business Cycles in Turkey," Working Papers 1202, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  8. Everts, Martin, 2006. "Sectoral and Industrial Business Cycles," MPRA Paper 1176, University Library of Munich, Germany.

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