IDEAS home Printed from https://ideas.repec.org/p/zbw/zewdip/15067.html
   My bibliography  Save this paper

Disentangling irregular cycles in economic time series

Author

Listed:
  • Schober, Dominik
  • Woll, Oliver

Abstract

Cycles play an important role when analyzing market phenomena. In many markets, both overlaying (weekly, seasonal or business cycles) and time-varying cycles (e.g. asymmetric lengths of peak and off peak or variation of business cycle length) exist simultaneously. Identification of these market cycles is crucial and no standard detection procedure exists to disentangle them. We introduce and investigate an adaptation of an endogenous structural break test for detecting at the same time simultaneously overlaying as well as time-varying cycles. This is useful for growth or business cycle analysis as well as for analysis of complex strategic behavior and short-term dynamics.

Suggested Citation

  • Schober, Dominik & Woll, Oliver, 2015. "Disentangling irregular cycles in economic time series," ZEW Discussion Papers 15-067, ZEW - Leibniz Centre for European Economic Research.
    • Handle: RePEc:zbw:zewdip:15067
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/119314/1/835126501.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, May.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Acosta, Juan & Cherrier, Beatrice, 2021. "The Transformation Of Economic Analysis At The Board Of Governors Of The Federal Reserve System During The 1960s," Journal of the History of Economic Thought, Cambridge University Press, vol. 43(3), pages 323-349, September.
    2. Perron, Pierre & Wada, Tatsuma, 2016. "Measuring business cycles with structural breaks and outliers: Applications to international data," Research in Economics, Elsevier, vol. 70(2), pages 281-303.
    3. Apostolos Serletis & Ricardo Rangel-Ruiz, 2007. "Testing for Common Features in North American Energy Markets," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 14, pages 172-187, World Scientific Publishing Co. Pte. Ltd..
    4. Brown, William Jr. & Burdekin, Richard C.K. & Weidenmier, Marc D., 2006. "Volatility in an era of reduced uncertainty: Lessons from Pax Britannica," Journal of Financial Economics, Elsevier, vol. 79(3), pages 693-707, March.
    5. Jaromir Benes & David Vavra, 2004. "Eigenvalue Decomposition of Time Series with Application to the Czech Business Cycle," Working Papers 2004/08, Czech National Bank.
    6. Eliana González & Luis F. Melo & Viviana Monroy & Brayan Rojas, 2009. "A Dynamic Factor Model For The Colombian Inflation," Borradores de Economia 5273, Banco de la Republica.
    7. Andreas Hornstein, 1998. "Inventory investment and the business cycle," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 49-71.
    8. Peter McAdam, 2007. "USA, Japan and the Euro Area: Comparing Business-Cycle Features," International Review of Applied Economics, Taylor & Francis Journals, vol. 21(1), pages 135-156.
    9. Marco Gallegati & Mauro Gallegati, 2005. "Wavelet variance and correlation analyses of output in G7 countries," Macroeconomics 0512017, University Library of Munich, Germany.
    10. Aastveit, Knut Are & Jore, Anne Sofie & Ravazzolo, Francesco, 2016. "Identification and real-time forecasting of Norwegian business cycles," International Journal of Forecasting, Elsevier, vol. 32(2), pages 283-292.
    11. Engelbert Stockhammer & Giorgos Gouzoulis & Rob Calvert Jump, 2019. "Debt-driven business cycles in historical perspective: The cases of the USA (1889-2015) and UK (1882-2010)," Working Papers PKWP1907, Post Keynesian Economics Society (PKES).
    12. Rachel Male, 2010. "Developing Country Business Cycles: Characterising the Cycle," Working Papers 663, Queen Mary University of London, School of Economics and Finance.
    13. Schüler, Yves S. & Hiebert, Paul P. & Peltonen, Tuomas A., 2020. "Financial cycles: Characterisation and real-time measurement," Journal of International Money and Finance, Elsevier, vol. 100(C).
    14. Fatma Erdem & Erdal Özmen, 2015. "Exchange Rate Regimes and Business Cycles: An Empirical Investigation," Open Economies Review, Springer, vol. 26(5), pages 1041-1058, November.
    15. Haroon Mumtaz & Saverio Simonelli & Paolo Surico, 2011. "International Comovements, Business Cycle and Inflation: a Historical Perspective," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 176-198, January.
    16. Chris Birchenhall & Denise Osborn & Marianne Sensier, 2001. "Predicting UK Business Cycle Regimes," Scottish Journal of Political Economy, Scottish Economic Society, vol. 48(2), pages 179-195, May.
    17. Siem Jan Koopman & Joao Valle e Azevedo, 2003. "Measuring Synchronisation and Convergence of Business Cycles," Tinbergen Institute Discussion Papers 03-052/4, Tinbergen Institute.
    18. Veaceslav Grigoras & Irina Eusignia Stanciu, 2016. "New evidence on the (de)synchronisation of business cycles: Reshaping the European business cycle," International Economics, CEPII research center, issue 147, pages 27-52.
    19. Alexandra Ferreira-Lopes & Álvaro Pina, 2011. "Business Cycles, Core, and Periphery in Monetary Unions: Comparing Europe and North America," Open Economies Review, Springer, vol. 22(4), pages 565-592, September.
    20. J. Bradford DeLong, 2002. "Do We Have a "New" Macroeconomy?," NBER Chapters, in: Innovation Policy and the Economy, Volume 2, pages 163-184, National Bureau of Economic Research, Inc.

    More about this item

    Keywords

    structural breaks; cluster analysis; filter; rolling regression; change points; model selection; cycles; economic dynamics;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
    • L50 - Industrial Organization - - Regulation and Industrial Policy - - - General

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:zewdip:15067. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/zemande.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.