Berechnung trendbereinigter Indikatoren für Deutschland mit Hilfe von Filterverfahren
AbstractThis paper discusses various approaches to decompose economic time series into their trend and cyclical components. For over 30 years now, the Deutsche Bundesbank publishes trend-adjusted indicators in its Statistical Supplement 4 entitled ?Seasonally Adjusted Business Statistics? which are calculated basically as unweighted moving averages. As alternatives to the Bundesbank?s current approach, the widely used Hodrick-Prescott filter, the extended exponential smoothing filter and the Baxter-King low-pass filter are investigated. All three of the filters are able to clearly separate the trend component from the cyclical component for German economic indicators. The turning points of the growth cycles are largely consistent with the Bundesbank?s current approach. However, the trend deviation level at the end of the series is still subject to noticeable changes. This uncertainty can be quantified with the help of ARIMA forecasts. The choice of filter ultimately depends on the features of the time series to be filtered. Whereas extended exponential smoothing is well suited to I(1) processes, the Hodrick-Prescott filter is preferable for I(2) series. --
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2005,19.
Date of creation: 2005
Date of revision:
Business cycle; trend; time-series analysis; Hodrick-Prescott;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-08-05 (All new papers)
- NEP-FOR-2006-08-05 (Forecasting)
- NEP-MAC-2006-08-05 (Macroeconomics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Falko Fecht & Kevin X. D. Huang & Antoine Martin, 2004.
"Financial intermediaries, markets, and growth,"
04-24, Federal Reserve Bank of Philadelphia.
- Falko Fecht & Kevin X. D. Huang & Antoine Martin, 2008. "Financial Intermediaries, Markets, and Growth," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 40(4), pages 701-720, 06.
- Falko Fecht & Kevin X.D. Huang & Antoine Martin, 2007. "Financial Intermediaries, Markets, and Growth," Vanderbilt University Department of Economics Working Papers 0714, Vanderbilt University Department of Economics.
- Falko Fecht & Kevin Huang, 2004. "Financial intermediaries, markets, and growth," Econometric Society 2004 North American Summer Meetings, Econometric Society 419, Econometric Society.
- Falko Fecht & Kevin Huang & Antoine Martin, 2004. "Financial intermediaries, markets, and growth," Research Working Paper, Federal Reserve Bank of Kansas City RWP 04-02, Federal Reserve Bank of Kansas City.
- Fecht, Falko & Huang, Kevin & Martin, Antoine, 2005. "Financial intermediaries, markets and growth," Discussion Paper Series 1: Economic Studies 2005,03, Deutsche Bundesbank, Research Centre.
- Victor Zarnowitz, 1991. "What is a Business Cycle?," NBER Working Papers 3863, National Bureau of Economic Research, Inc.
- Hamerle, Alfred & Liebig, Thilo & Scheule, Harald, 2004. "Forecasting Credit Portfolio Risk," Discussion Paper Series 2: Banking and Financial Studies 2004,01, Deutsche Bundesbank, Research Centre.
- Mark W. French, 2001. "Estimating changes in trend growth of total factor productivity: Kalman and H-P filters versus a Markov-switching framework," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2001-44, Board of Governors of the Federal Reserve System (U.S.).
- Bloechl, Andreas, 2014. "Reducing the Excess Variability of the Hodrick-Prescott Filter by Flexible Penalization," Discussion Papers in Economics, University of Munich, Department of Economics 17940, University of Munich, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).
If references are entirely missing, you can add them using this form.