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Berechnung trendbereinigter Indikatoren für Deutschland mit Hilfe von Filterverfahren

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  • Stamfort, Stefan
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    Abstract

    This 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. --

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    Bibliographic Info

    Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2005,19.

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    Date of creation: 2005
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    Handle: RePEc:zbw:bubdp1:3378

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    Keywords: Business cycle; trend; time-series analysis; Hodrick-Prescott;

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    1. Falko Fecht & Kevin Huang, 2004. "Financial intermediaries, markets, and growth," Econometric Society 2004 North American Summer Meetings 419, Econometric Society.
    2. 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.
    3. 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 2001-44, Board of Governors of the Federal Reserve System (U.S.).
    4. Victor Zarnowitz, 1991. "What is a Business Cycle?," NBER Working Papers 3863, National Bureau of Economic Research, Inc.
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    Cited by:
    1. Bloechl, Andreas, 2014. "Reducing the Excess Variability of the Hodrick-Prescott Filter by Flexible Penalization," Discussion Papers in Economics 17940, University of Munich, Department of Economics.

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