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Estimation of the Business Cycles - Selected Methodological Problems of the Hodrick-Prescott Filter Application

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  • Kapounek, Svatopluk

Abstract

The aim of this article is to highlight a number of problems due to a rather „mechanical“ application of the Hodrick-Prescott Filter and its possible implication for the monetary policy decision-making process. The author concludes that HP filter is not able to estimate the potential output, however it could be used as the efficient tool in monetary policy decision making process and its stabilizing function.

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File URL: http://mpra.ub.uni-muenchen.de/27567/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 27567.

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Date of creation: 01 Sep 2009
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Publication status: Published in Polish Journal of Environmental Studies 5B.18(2009): pp. 227-231
Handle: RePEc:pra:mprapa:27567

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Related research

Keywords: economic activity indicator; time series; BDS test; stochastic process; non-linearity;

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References

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  1. Marianne Baxter & Robert G. King, 1995. "Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series," NBER Working Papers 5022, National Bureau of Economic Research, Inc.
  2. Guay, A & St-Amant, P, 1996. "Do Mechanical Filters Provide a Good Approximation of Business Cycles?," Technical Reports 78, Bank of Canada.
  3. Celsa Machado, 2001. "Measuring Business Cycles: The Real Business Cycle Approach and Related Controversies," FEP Working Papers 107, Universidade do Porto, Faculdade de Economia do Porto.
  4. Bevilacqua ,Franco & Zon,Adriaan,van, 2001. "Random walks and non-linear paths in macroeconomic time series: Some evidence and implications," Research Memorandum 007, Maastricht University, Maastricht Economic Research Institute on Innovation and Technology (MERIT).
  5. Finn E. Kydland & Edward C. Prescott, 1996. "The Computational Experiment: An Econometric Tool," Journal of Economic Perspectives, American Economic Association, vol. 10(1), pages 69-85, Winter.
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Cited by:
  1. Jitka Poměnková, 2010. "An Alternative Approach to the Dating of Business Cycle: Nonparametric Kernel Estimation," Prague Economic Papers, University of Economics, Prague, vol. 2010(3), pages 251-272.

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