scholarly journals Extracting Business Cycle Fluctuations: What Do Time Series Filters Really Do?

2007 ◽  
Author(s):  
Arturo Estrella
Keyword(s):  
Time Series ◽  
Business Cycle ◽  
Business Cycle Fluctuations

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.

Dynamic Modelling of the Building Cycle: 2. Empirical Results

1987 ◽  
Vol 19 (4) ◽  
pp. 493-520 ◽  
Author(s):  
R Barras ◽  
D Ferguson
Keyword(s):  
Time Series ◽  
Spectral Analysis ◽  
Business Cycle ◽  
Dynamic Modelling ◽  
Supply Side ◽  
Second Stage ◽  
Business Cycle Fluctuations ◽  
The Third ◽  
Development Costs ◽  
Third Stage

This paper is a presentation of the results of the third stage of a project designed to investigate the incidence and causes of postwar building cycles in the British economy. In the first stage spectral analysis was used to identify the main postwar cycles in each sector of building (industrial, commercial, and residential); the second stage involved the development of a theoretical framework suitable for dynamic modelling of these cycles; and the third stage was concerned with estimating the best time-series model for each cycle. The estimated models demonstrate the presence of both an endogenous supply-side mechanism creating major building cycles of up to nine years' duration, and the exogenous influence of business-cycle fluctuations within user and investment submarkets which are transmitted via the demand for property into short building cycles of four to five years duration. In addition, the models demonstrate how the building cycle in each sector may be influenced by other factors, such as development costs and property rents and values.

Reforming the Labour Market in Good and Bad Times

2018 ◽  
Author(s):  
Britta Gehrke ◽  
Enzo Weber
Keyword(s):  
Time Series ◽  
Business Cycle ◽  
Labour Market ◽  
Markov Switching ◽  
Matching Theory ◽  
Market Reforms ◽  
Structural Reforms ◽  
Labour Market Reforms ◽  
Short Run ◽  
The Business Cycle

This chapter discusses how the effects of structural labour market reforms depend on whether the economy is in expansion or recession. Based on an empirical time series model with Markov switching that draws on search and matching theory, we propose a novel identification of reform outcomes and distinguish the effects of structural reforms that increase the flexibility of the labour market in distinct phases of the business cycle. We find in applications to Germany and Spain that reforms which are implemented in recessions have weaker expansionary effects in the short run. For policymakers, these results emphasize the costs of introducing labour market reforms in recessions.

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