scholarly journals Boosting: Why you Can Use the HP Filter

2019 ◽  
Author(s):  
Peter C. B. Phillips ◽  
Zhentao Shi
Keyword(s):  
Hp Filter

scholarly journals DESENTRALISASI FISKAL DAN PERTUMBUHAN EKONOMI, SERTA KAITANNYA DENGAN OTONOMI DAERAH

1969 ◽  
Vol 9 (3) ◽  
Author(s):  
Rustan A.
Keyword(s):  
Economic Growth ◽  
Positive Relationship ◽  
Fiscal Decentralization ◽  
Panel Data Analysis ◽  
Regional Economic Growth ◽  
Regional Autonomy ◽  
Dummy Variable ◽  
Expenditure Share ◽  
Aggregate Effect ◽  
Hp Filter

This study attempts to examine the influence of fiscal decentralization and regional autonomy on regional economic growth in Indonesia by using panel data analysis and the Hodrick-Prescott (HP) filter. This study takes sample at provincial level (selected 19 provinces) in Indonesia in the period of 1994-2010. Furthermore, to represents the fiscal decentralization this thesis uses three indicators, namely expenditure share, revenue share, and local government's own revenue share. Further, regional autonomy is treated as dummy variable with base year of 2004. The result demonstrates that fiscal decentralization is positively associated with economic growth in Indonesia, especially from the revenue side and own revenue side. The findings further strengthens the decentralization theorem and previous studies that mentioned fiscal decentralization play a role in foster the economic growth. In addition, it is also found that the implementation of regional autonomy policy (aggregate decentralization effect) presents positive relationship to economic growth.Keywords : Fiscal Decentralization; Regional Autonomy; Economic GrowthStudi ini mencoba untuk menguji pengaruh desentralisasi fiskal dan otonomi daerah terhadap pertumbuhan ekonomi daerah di Indonesia dengan menggunakan metode analisis data panel dan analisis Hodrick-Prescott (HP) filter. Studi ini mengambil sampel pada level provinsi (19 provinsi terpilih) di Indonesia pada periode 1994-2010. Indikator yang digunakan untuk mewakili pengukuran desentralisasi fiskal ada tiga, yaitu indikator rasio pengeluaran, indikator rasio pendapatan, dan indikator rasio pendapatan asli pemerintah daerah. Sedangkan otonomi daerah diperlakukan sebagai dummy variable dengan acuan tahun 2004 sebagai tahun dasar. Hasil analisis menunjukkan bahwa desentralisasi fiskal secara positif turut mempengaruhi pertumbuhan ekonomi di Indonesia, terutama dari sisi pendapatan dan dari sisi peningkatan pendapatan asli daerah. Temuan ini semakin memperkuat decentralization theorem dan studistudi sebelumnya yang menyebutkan bahwa desentralisasi fiskal cukup berperan penting dalam mendorong pertumbuhan ekonomi. Selain itu, juga ditemukan bahwa implementasi kebijakan otonomi daerah (aggregate effect desentralisasi) menunjukkan adanya hubungan positif terhadap peningkatan pertumbuhan ekonomi daerah.Kata Kunci : Desentralisasi Fiskal; Otonomi Daerah; Pertumbuhan Ekonomi

scholarly journals International Real Estate Review

2008 ◽  
Vol 11 (2) ◽  
pp. 105-125
Author(s):  
Changha Jin ◽  
◽  
Terry V. Grissom ◽  
Keyword(s):  
Real Estate ◽  
Moving Average ◽  
Price Adjustments ◽  
Regional Markets ◽  
Cyclical Component ◽  
Auto Regressive ◽  
Arima Modeling ◽  
Hp Filter ◽  
Real Estate Prices ◽  
Residential Market

This paper applies the Hodrck-Prescott (HP) filter to forecast short-term residential real estate prices under cyclical movements. We separate the trend component from the cyclical component. We show that each regional residential market reacts not only to previous price movements, but also that these regional markets react to previous shocks under Auto Regressive Integrated Moving Average (ARIMA) modeling. Using the S&P Case-Shiller Home Price Index, we compare our forecast to index values from the Chicago Mercantile Exchange (CME) Housing Futures and Options. Our study identifies possible systematic errors from the different price adjustments reflecting current market situations.

Correlation between Chinese and international energy prices based on a HP filter and time difference analysis

Energy Policy ◽  
2013 ◽  
Vol 62 ◽  
pp. 898-909 ◽  
Author(s):  
Yongxiu He ◽  
Bing Wang ◽  
Jianhui Wang ◽  
Wei Xiong ◽  
Tian Xia
Keyword(s):  
Time Difference ◽  
Energy Prices ◽  
Difference Analysis ◽  
Hp Filter

Konjunktur und Generationenbilanz – eine Analyse anhand des HP-Filters / Business Cycle Effects on Generational Accounting – An Analysis using the HP-Filter

2008 ◽  
Vol 228 (4) ◽  
Author(s):  
Ulrich Benz ◽  
Christian Hagist
Keyword(s):  
Business Cycle ◽  
Time Frame ◽  
Sustainability Indicators ◽  
Generational Accounting ◽  
Eine Analyse ◽  
Economic Methods ◽  
General Government ◽  
Generational Accounts ◽  
The Business Cycle ◽  
Hp Filter

SummaryGenerational accounting is - given the future demographic developments in OECD countries - an established tool to quantify the fiscal situation of public coffers. However, as all economic methods dealing with future developments it has critical points. One in particular is the calibration on one base year which neglects business cycle effects on the generational accounts. This paper aims to analyze in which way and to which degree generational accounts and the associated sustainability indicators are biased due to the neglecting of business cycle effects. To do this we use the Hodrick-Prescott-Filter to estimate the business cycle effects for the German general government budgets from 1996 to 2005. We then calculate sustainability indicators based on all years given the actual and the business cycle adjusted budgets. It can be stated that the neglect of the business cycle definitively has an effect on the outcomes of the generational accounting framework. However the magnitude of this effect is rather small, at least for Germany. As a by-product of our analysis, we show that the German fiscal policy was rather pro-cyclical during the examined time frame and that the effects of these policies on the generational accounts are larger than the business cycle effects.

scholarly journals Estimating the Potential Output and Output Gap of Ghana

2019 ◽  
Vol 6 (3) ◽  
pp. 58
Author(s):  
Joseph Atta-Mensah ◽  
Sawuya Nakijoba
Keyword(s):  
Economic Activity ◽  
Time Trends ◽  
Linear Time ◽  
Output Gap ◽  
Annual Data ◽  
Conceptual Tool ◽  
Potential Output ◽  
Economic Information ◽  
Hp Filter ◽  
Output Gaps

This paper focuses on the estimation of the potential output of Ghana. Potential output or its derivative the output gap are not observable. However, “potential output” is a powerful conceptual tool that guides analysts and policymakers in gauging whether the current observed economic activity is sustainable and how much of it is greater than or less than potential. Based on Ghanaian GDP annual data from 1960 – 2017, the paper estimates potential output and output gaps using the following methodology: linear time trends, Hodrick-Prescott (HP) filter trends, multivariate HP filter trends, and a production function model. The results show that estimates of the potential output and output gaps are model-dependent as estimates vary from one methodology to the other. The paper recommends that policymakers should not mechanically choose a model to estimate output gap. For the avoidance of costly policy mistakes, the choice of the model should be complemented with sound judgement based on a set of pertinent economic information.

scholarly journals How Should Credit Gaps Be Measured? An Application to European Countries

2020 ◽  
Vol 20 (6) ◽  
Author(s):  
Chikako Baba ◽  
Salvatore Dell'Erba ◽  
Enrica Detragiache ◽  
Olamide Harrison ◽  
Aiko Mineshima ◽  
...  
Keyword(s):  
Banking Crises ◽  
European Countries ◽  
Panel Regression ◽  
Macroprudential Policy ◽  
Macroprudential Policies ◽  
Pros And Cons ◽  
Credit Cycle ◽  
Hp Filter ◽  
Long Term Trend

Assessing when credit is excessive is important to understand macro-financial vulnerabilities and guide macroprudential policy. The Basel Credit Gap (BCG) – the deviation of the credit-to-GDP ratio from its long-term trend estimated with a one-sided Hodrick-Prescott (HP) filter—is the indicator preferred by the Basel Committee because of its good performance as an early warning of banking crises. However, for a number of European countries this indicator implausibly suggests that credit should go back to its level at the peak of the boom after the credit cycle turns, resulting in large negative gaps that might delay the activation of macroprudential policies. We explore two different approaches—a multivariate filter based on economic theory and a fundamentals-based panel regression. Each approach has pros and cons, but they both provide a useful complement to the BCG in assessing macro-financial vulnerabilities in Europe.

scholarly journals Improvement of Climatic Yield Method Based on HP Filter

2017 ◽  
Author(s):  
Ze-Hui CAI ◽  
Jing-Wen XU ◽  
Jun-Fang ZHAO ◽  
Xin ZHAN ◽  
An-Dong WU ◽  
...  
Keyword(s):  
Hp Filter
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