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Methodological Issues of Econometric Estimation of Business Cycles

Author

Listed:
  • Ivanova, Maria

    (RANEPA)

  • Kazakova, Maria

    (RANEPA)

Abstract

The purpose of this paper is to examine the methodology of econometric estimation of business cycles for further application of the results of this analysis in the evaluation of credit cycles in Russia and in several foreign countries. In the first section of the paper we will discuss the main methods of isolating trend that is used in the theory. The following will describe a technique for constructing three frequency filter : Baxter - King, Hodrick - Prescott, Beveridge - Nelson. These filters are considered in order to show differences in the methods of allocation component of the business cycle, as well as methods for the isolation of the trend

Suggested Citation

  • Ivanova, Maria & Kazakova, Maria, "undated". "Methodological Issues of Econometric Estimation of Business Cycles," Published Papers nvg153, Russian Presidential Academy of National Economy and Public Administration.
    • Handle: RePEc:rnp:ppaper:nvg153
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    File URL: https://repec.ranepa.ru/rnp/ppaper/nvg153.pdf
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    More about this item

    Keywords

    econometrics; credit cycles; rates; business cycles; Russia;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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