IDEAS home Printed from https://ideas.repec.org/p/cnb/wpaper/2004-08.html
   My bibliography  Save this paper

Eigenvalue Decomposition of Time Series with Application to the Czech Business Cycle

Author

Listed:
  • Jaromir Benes
  • David Vavra

Abstract

We follow a Beveridge-Nelson like time series decomposition method (into trend, business cycle and irregular components), and examine a stylized model of price inflation determination using the Czech data. We characterize the estimated components of CPI, IPPI and import inflations, together with the real production wage and real output, and survey their basic correlation properties; furthermore we compute structural innovations imposing restrictions on their long-run effects, draw the impulse responses, and test the results by means of bootstrap simulation. We conclude that major room for further refinement of the research is found in two areas, First, from an economist's perspective, in the construction of real marginal cost indicators, and second, from a statistiacian's perspective, in further investigation of the robustness of the method.

Suggested Citation

  • Jaromir Benes & David Vavra, 2004. "Eigenvalue Decomposition of Time Series with Application to the Czech Business Cycle," Working Papers 2004/08, Czech National Bank, Research Department.
  • Handle: RePEc:cnb:wpaper:2004/08
    as

    Download full text from publisher

    File URL: http://www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp82004.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
    2. Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 2005. "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy," Journal of Political Economy, University of Chicago Press, vol. 113(1), pages 1-45, February.
    3. Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, May.
    4. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    5. Jaromir Benes & Papa M N'Diaye, 2004. "A Multivariate Filter for Measuring Potential Output and the NAIRU Application to the Czech Republic," IMF Working Papers 04/45, International Monetary Fund.
    6. Gali, Jordi & Gertler, Mark, 1999. "Inflation dynamics: A structural econometric analysis," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 195-222, October.
    7. Hoffmann, Mathias, 2001. "Long run recursive VAR models and QR decompositions," Economics Letters, Elsevier, pages 15-20.
    8. Casals J. & Jerez M. & Sotoca S., 2002. "An Exact Multivariate Model-Based Structural Decomposition," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 553-564, June.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    bootstrap; business cycle; inflation; structural VAR; time series decomposition;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

    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:cnb:wpaper:2004/08. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jan Babecky). General contact details of provider: http://edirc.repec.org/data/cnbgvcz.html .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.