scholarly journals Statistical analysis of business cycle fluctuations in Poland before and after the crisis

Equilibrium ◽  
2016 ◽  
Vol 11 (4) ◽  
pp. 769 ◽  
Author(s):  
Łukasz Lenart ◽  
Błażej Mazur ◽  
Mateusz Pipień
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Bayesian Methods ◽  
Inference Method ◽  
Statistical Tools ◽  
Business Cycle Fluctuations ◽  
Long Run ◽  
Before And After ◽  
The Business Cycle ◽  
Polish Economy

The main objective of the paper is to investigate properties of business cycles in the Polish economy before and after the recent crisis. The essential issue addressed here is whether there is statistical evidence that the recent crisis has affected the properties of the business cycle fluctuations. In order to improve robustness of the results, we do not confine ourselves to any single inference method, but instead use different groups of statistical tools, including non-parametric methods based on subsampling and parametric Bayesian methods. We examine monthly series of industrial production (from January 1995 till December 2014), considering the properties of cycles in growth rates and in deviations from long-run trend. Empirical analysis is based on the sequence of expanding-window samples, with the shortest sample ending in December 2006. The main finding is that the two frequencies driving business cycle fluctuations in Poland correspond to cycles with periods of 2 and 3.5 years, and (perhaps surprisingly) the result holds both before and after the crisis. We, therefore, find no support for the claim that features (in particular frequencies) that characterize Polish business cycle fluctuations have changed after the recent crisis. The conclusion is unanimously supported by various statistical methods that are used in the paper, however, it is based on relatively short series of the data currently available.

ASYMMETRY AND THE AMPLITUDE OF BUSINESS CYCLE FLUCTUATIONS: A QUANTITATIVE INVESTIGATION OF THE ROLE OF FINANCIAL FRICTIONS

2016 ◽  
Vol 22 (2) ◽  
pp. 279-306 ◽  
Author(s):  
Manoj Atolia ◽  
John Gibson ◽  
Milton Marquis
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Financial Frictions ◽  
Quantitative Investigation ◽  
Macroeconomic Volatility ◽  
Access To Credit ◽  
Business Cycle Fluctuations ◽  
Key Features ◽  
The Business Cycle

We examine the quantitative significance of financial frictions that reduce firms' access to credit in explaining asymmetric business cycles characterized by disproportionately severe downturns. Using rate spread data to calibrate the severity of these frictions, we successfully match several key features of U.S. data. Specifically, although output and consumption are relatively symmetric (with output being slightly more asymmetric), investment and hours worked display significant asymmetry over the business cycle. We also demonstrate that our financial frictions are capable of significantly amplifying adverse shocks during severe downturns. Although the data suggest that these frictions are only active occasionally, our results indicate that they are still a significant source of macroeconomic volatility over the business cycle.

Business-cycle fluctuations in economic activity

2021 ◽  
pp. 105-125
Author(s):  
Jesper Rangvid
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Empirical Evidence ◽  
Economic Activity ◽  
Second Phase ◽  
Growth Trend ◽  
Business Cycle Fluctuations ◽  
The Business Cycle ◽  
Two Phases

This chapter explains what the business cycle is and what causes business-cycle fluctuations. We call fluctuations in economic activity around the long-term growth trend ‘the business cycle’. The business cycle consists of two phases. The first is a period of strong economic activity. The second, following the first, is a period of weak economic activity. We call the first phase of the business cycle an ‘expansion’ and the second phase a ‘contraction’ or ‘recession’. The chapter explains what causes business cycles, and examines the empirical evidence on the lengths and strengths of the typical business cycle. It finds that expansions typically last longer than recessions. The chapter also shows that the length of expansions has increased during recent decades.

Synchronisation of Regional Business Cycles of Eastern Polish Provinces with the National Cycle in the Context of Regional Economic Structures

2015 ◽  
Vol 10 (2) ◽  
pp. 157-171
Author(s):  
Rafał Warżała
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Regional Variation ◽  
Regional Economic ◽  
Business Cycle Fluctuations ◽  
Cyclical Fluctuations ◽  
Band Pass ◽  
The Business Cycle ◽  
Regional Product ◽  
Regional Perspective

The objective of the article is to determine the degree of regional variation among provinces located in so-called Eastern Poland. The criterion for such variation is the structure of the generated GDP and the course of fluctuations in business cycles related to it. The analysis of economy structures in such provinces, as well as application of band-pass filters, used for separating the course of cyclical fluctuations, enabled the evaluation of the degree of structural discrepancies and business cycle discrepancies in five examined provinces. The analysis of cycle morphology in a regional perspective confirmed significant discrepancies in the course of the business cycle fluctuations in comparison to the cycle for Poland in general. The relation between the structure of the generated regional product and its co-convergence with the reference cycle is also visible. Regions characterised by a much higher or much lower share of agriculture in the GDP show different sensitivity to business cycle changes. Furthermore, these regions of Eastern Poland which have industries with a clearly pro-export nature (Warmia and Mazury, Podlasie and Podkarpackie) retain their separate character in the course of the fluctuations of the business cycle, differing from other regions included in the examined area of the country.

Predicting returns over several decades

2021 ◽  
pp. 292-312
Author(s):  
Jesper Rangvid
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Interest Rates ◽  
Stock Price ◽  
Turning Points ◽  
Long Run ◽  
The Business Cycle

This chapter looks at expectations of returns several decades out. This is obviously a difficult task, as fundamental economic structures might change over such long periods. But we need multi-decade forecasts in certain situations. One conclusion of this chapter is that we must look beyond variables that predict turning points in the business cycle and stock-price multiples when dealing with the very long run. Over multiple decades, we will live through multiple business cycles. Variables that predict the next business cycle will not be particularly informative about the returns we expect over many decades. The chapter focuses on the deep underlying drivers of long-run returns, primarily expectations to long-run economic activity.The chapter also looks at expected long-run interest rates.

Short Run Comovement, Persistent Shocks and the Business Cycle / Eine empirische Analyse der Wirkung kurz- und langfristiger Schocks im Konjunkturzyklus

1998 ◽  
Vol 217 (4) ◽  
Author(s):  
Jörg Breitung ◽  
Maik Heinemann
Keyword(s):  
Business Cycle ◽  
Rational Expectations ◽  
Impulse Response Functions ◽  
Business Cycle Theory ◽  
Productivity Shocks ◽  
Business Cycle Fluctuations ◽  
Long Run ◽  
Short Run ◽  
The Business Cycle ◽  
System Variables

SummaryFollowing standard real business cycle theory, long run economic growth and short run business cycle fluctuations are attributed to a series of productivity shocks propagated by the economic system which is assumed to be in a rational expectations equilibrium. Characterizing the technical progress as the common stochastic trend we are able to investigate the short and long run effects of the productivity shocks using a cointegrated system. From the empirical analysis it emerges that the long run relationship between the system variables can be traced back to a single permanent component which is interpreted as a measure of technological progress. The short run dynamic impact of the permanent innovations is investigated using the empirical impulse response functions. It turns out that the permanent shocks are able to explain a substantial portion of business cycle fluctuations.

scholarly journals Regional business cycles in Poland

2020 ◽  
Vol 2020 (146) ◽  
pp. 441-454
Author(s):  
Joanna SPYCHAŁA ◽  
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Research Process ◽  
Morphological Features ◽  
Business Fluctuations ◽  
Business Cycle Fluctuations ◽  
Industry Research ◽  
Course Of Action ◽  
Cyclical Fluctuations ◽  
Polish Economy

Purpose: The main goal of the considerations presented hereinbelow is a presentation of the course of action as well as an analysis of crucial features of cyclical fluctuations differentiated as entities in the Polish economy as well as in all provinces in the period of the first quarter of 2005 until the second quarter of 2019 based on the rate of the sold production of industry. Design/methodology/approach: A share of the respective regions in the structure of the sold production of industry was assessed. Finally, an attempt of assessing the rate of convergence in terms of morphology of a national chain with time chains of the respective regions was undertaken. In the thesis, a hypothesis is being stated that the most synchronised with the cycle of Poland are regions having the biggest share in the sold production of industry. Methodological bases of the research process as well as an empirical assessment of the regional business cycles in Poland were preceded by theoretical analyses concerning the notion, the core as well as the morphological features of the regional business fluctuations. Findings: Making an assessment of the progression of business cycle fluctuations of the economy of Poland as a whole as well as business cycle fluctuations of Polish provinces in the period between the first quarter 2005 and the second quarter of 2019, one may conclude the progression is not uniform. The variation depends to a large extent on the specificity of development of each region. Provinces which have a lower share in the national structure of the sold production of industry demonstrate higher sensitivity to economic shocks. The highest degree of compliance with the national cycle has been demonstrated in provinces with the highest rate of share in the structure of the sold production of industry. Research limitations/implications: The conducted research, as well as the obtained results might thus be a basis for taking up more extensive analyses in that field, comprising a discussion on the remaining morphological features of business cycles. Originality/value: Determining the course of cyclical fluctuations in Poland as well as in its respective provinces has been made.

EXPANSIONS AND RECESSIONS IN THE MEXICAN STATES: A CLASSICAL BUSINESS CYCLES APPROACH

2017 ◽  
Vol 3 (5) ◽  
pp. 32
Author(s):  
Pablo Mejía-Reyes
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Monthly Basis ◽  
Production Index ◽  
Clear Cut ◽  
Output Measure ◽  
Central Regions ◽  
The Business Cycle ◽  
National Business ◽  
Cycle Indicator

This paper aims to document expansions and recessions characteristics for 17 states of Mexico over the period 1993-2006 by using a classical business cycle approach. We use the manufacturing production index for each state as the business cycle indicator since it is the only output measure available on a monthly basis. According to this approach, we analyse asymmetries in mean, volatility and duration as well as synchronisation over the business cycle regimes (expansions and recessions) for each case. Our results indicate that recessions are less persistent and more volatile (in general) than expansions in most Mexican states; yet, there is no clear cut evidence on mean asymmetries. In turn, there seems to be strong links between the business cycle regimes within the Northern and Central regions of the country and between states with similar industrialisation patterns, although it is difficult to claim that a national business cycle exists.

scholarly journals News-Driven Business Cycles: Insights and Challenges

2014 ◽  
Vol 52 (4) ◽  
pp. 993-1074 ◽  
Author(s):  
Paul Beaudry ◽  
Franck Portier
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Empirical Evidence ◽  
Economic Fluctuations ◽  
Aggregate Fluctuations ◽  
Business Cycle Fluctuations ◽  
Widespread Belief ◽  
Way Of Thinking ◽  
The Many

There is a widespread belief that changes in expectations may be an important independent driver of economic fluctuations. The news view of business cycles offers a formalization of this perspective. In this paper we discuss mechanisms by which changes in agents' information, due to the arrival of news, can cause business cycle fluctuations driven by expectational change, and we review the empirical evidence aimed at evaluating their relevance. In particular, we highlight how the literature on news and business cycles offers a coherent way of thinking about aggregate fluctuations, while at the same time we emphasize the many challenges that must be addressed before a proper assessment of the role of news in business cycles can be established. (JEL D83, D84, E13, E32, O33)

scholarly journals Business Cycles in Algerian Economy: A Bayesian DSGE Approach

2018 ◽  
Vol 2 (1) ◽  
pp. 72-100
Author(s):  
Abdelsalam BOUKHEROUFA
Keyword(s):  
Time Series ◽  
Business Cycles ◽  
Business Cycle ◽  
Equilibrium Model ◽  
Government Spending ◽  
Aggregate Demand ◽  
Dynamic Stochastic General Equilibrium ◽  
Business Cycle Fluctuations ◽  
Output Fluctuations ◽  
Dynamic Stochastic

The main objective of this paper is to highlight the most important shocks that drives the business cycles in the Algerian economy. Using Bayesian estimation techniques, we estimate a dynamic stochastic general equilibrium model (DSGE) using four time series of the Algerian macroeconomics. Through this estimated model, which succeeded in capturing the dynamics of the Algerian economy data, we found three main results: First, the main causes of business cycle fluctuations in the Algerian economy are aggregate demand shocks. Second, the of government spending shock play the most important role in output fluctuations. Third, empirical results show evidences of procyclical in government spending policies.

Sign in / Sign up

Export Citation Format

Share Document