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The Modelling of the Volatility of Business cycles in Romania

  • Viorica CHIRILA


    (University “Alexandru Ioan Cuza” Iasi)

The latest research highlights the existence of the asymmetry of the volatility of business cycles. In this context, in this paper we firstly aim to test whether the volatility of business cycles in Romania is constant or not and then, according to the identified result we try to model it. For the determination of business cycles of Romania we use the index of the industrial production registered during the period January 2000 – May 2011. The estimation of the business cycles is conducted by means of the Hodrick-Prescot filter. The results obtained confirm that the volatility of business cycles of Romania is not constant and suggest the possibility of taking into account the heteroscedastic models. The estimation of the EGARCH model shows that Romania’s business cycles present an asymmetric volatility.

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Article provided by Danubius University of Galati in its journal Euroeconomica.

Volume (Year): (2011)
Issue (Month): 30 (November)
Pages: 138-147

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Handle: RePEc:dug:journl:y:2011:i:30:p:138-147
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  1. Kin-Yip Ho & Albert K. Tsui & Zhaoyong Zhang, 2009. "Volatility Dynamics of the UK Business Cycle: a Multivariate Asymmetric Garch Approach," Economie Internationale, CEPII research center, issue 117, pages 31-46.
  2. Claudia M. Buch & Jörg Döpke & Christian Pierdzioch, 2002. "Financial Openness and Business Cycle Volatility," Kiel Working Papers 1121, Kiel Institute for the World Economy.
  3. Fang, WenShwo & Miller, Stephen M., 2009. "Modeling the volatility of real GDP growth: The case of Japan revisited," Japan and the World Economy, Elsevier, vol. 21(3), pages 312-324, August.
  4. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  5. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, September.
  6. Stephen Turnovsky & Pradip Chattopadhyay, 1998. "Volatility and Growth in Developing Economies: Some Numerical Results and Empirical Evidence," Working Papers 0055, University of Washington, Department of Economics.
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