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Business Cycle Synchronization In Polish Economy And Oil Market In The Year 2000-2013

  • Andrzej Geise

    ()

    (Nicolaus Copernicus University)

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    The paper presents the main conclusions of the analysis of business cycle synchronization in the oil market with economic and stock market cycles in Poland. The study was based on 158 monthly observations from the period from January 2000 to February 2013. The main data source were stooq.pl database. The study was conducted on the basis of monthly data, which were purified from the seasonal component. To remove the seasonal component, method TRAMO/SEATS was using. Then the use two kind of filters, i.e., additive Hodrick-Prescott filter and bandpass filter Christiano-Fitzgerald to decomposed time series. To analyze dominant frequency fluctuation the spectral analysis was using. In Polish economy dominant frequency fluctuation amount to 40 month and 6-7 years. In oil market, the dominant frequency fluctuation amount to 6 years, 3 years and 23 month. Based on the results of cross-spectral analysis may indicate that the business cycles of Polish economy and the oil market are synchronized to an average degree.

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    File URL: http://www.pte.umk.pl/images/plikidopobrania/2013_No3.pdf
    File Function: First version, 2013
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    Paper provided by Institute of Economic Research in its series Working Papers with number 3/2013.

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    Length: 22 pages
    Date of creation: Feb 2013
    Date of revision: May 2013
    Publication status: Published in Problemy gospodarki swiatowej TOM IV, edited by Magdalena Kuczmarska, Ilona Pietryka, Institute of Economic Research and Polish Economic Society Branch in Torun, Torun 2014
    Handle: RePEc:pes:wpaper:2013:no3
    Contact details of provider: Web page: http://www.badania-gospodarcze.pl/

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