Business Cycles: An International Comparison of Stylized by Ulrich Woitek

By Ulrich Woitek

Subject is the outline of unvariate and multivariate enterprise cycle stylized evidence. A spectral research strategy (Maximum Entropy spectral estimation) novel within the research of financial time sequence is defined and applied. the strategy seems to be stronger to regularly occurring time area equipment and the "classical" spectral estimate, the periodogram. the consequences for 11 OECD international locations determine and expand the elemental set of stylized proof of conventional enterprise cycle conception. The altering features of the company cycle are analyzed via evaluating the cyclical constitution for the postwar and the prewar interval. the consequences express that enterprise cycle is especially because of funding fluctuations.

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As it was said above, the GDP ICP- and the GDP 11M-system are dominated by the long cycle. 95, although they are slightly smaller than for the long cycle in GDP and GFCF. 4. The results for the lead-lag relationship between the GDP-cycles and the respective component cycles confirm and extend the outcome from the analysis in the time domain. e. the long cycle in GFCF is pro cyclical. The same result can be obtained for the short cycle in II and for the long cycles in CP and 1M. The long GDP-cycle leads over the respective II-cycle with a phase shift of about one year.

He lists the work of Henry L. Moore (1914), (1923), William H. Beveridge (1921), William L. Crum (1923), Edwin B. Wilson (1934), Benjamin Greenstein (1935), and Harold T. Davis (1941). These early contributions, which analyse data sets of about 100-400 observations, are rather impressive given that today's technical possibilities for the computation of the spectral estimates were not available. 17 The application of the periodogram to the description of the cyclical structure of economic time series is not to be recommended.

Illustrating the Methodology: The Case of Germany easy to understand: Harmonic waves at a set of Fourier frequencies A/I are fitted to a series X t using OLS. At this frequency set, the harmonic waves are uncorrelated. 3) X t sin 27l' Aj; t=1 To compare the fit of the cosines, their respective R2 s can be used. The plot of R2 against the frequencies Aj is called periodogram. 7. This would mean that the variance of a harmonic wave with a cycle length of about 8 years explains 70 per cent of the series' variance.

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