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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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Web page: http://mpra.ub.uni-muenchen.de
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Related research

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

Find related papers by JEL classification:

• C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
• E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
• C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models

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1. 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.
   
   • Tom Doan, . "BKFILTER: RATS procedure to implement band pass filter using Baxter-King method," Statistical Software Components RTS00026, Boston College Department of Economics.
   • 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. Finn E. Kydland & Edward C. Prescott, 1994. "The computational experiment: an econometric tool," Staff Report 178, Federal Reserve Bank of Minneapolis.
   
   • 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.
   • Finn E. Kydland & Edward C. Prescott, 1994. "The computational experiment: an econometric tool," Working Paper 9420, Federal Reserve Bank of Cleveland.
3. Guay, A & St-Amant, P, 1996. "Do Mechanical Filters Provide a Good Approximation of Business Cycles?," Working Papers-Department of Finance Canada 1996-2, Department of Finance Canada.
   
   • Guay, A & St-Amant, P, 1996. "Do Mechanical Filters Provide a Good Approximation of Business Cycles?," Technical Reports 78, Bank of Canada.
4. 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.

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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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