Almost Periodically Correlated Time Series in Business Fluctuations Analysis

Abstract

We propose a non-standard subsampling procedure to make formal statistical inference about the business cycle, one of the most important unobserved feature characterising uctuations of economic growth. We show that some characteristics of business cycle can be modelled in a non-parametric way by discrete spectrum of the almost periodically correlated time series. On the basis of estimated characteristics of this spectrum business cycle is extracted by ltering. As an illustration we characterise the main properties of business cycles in industrial production index for Polish economy.

Cyclical Properties of the Credit and Production in Selected European Countries - a Comparison of Deterministic and Stochastic Cycle Approach

“…The latter component is described by an almost periodic function represented by a countable set of frequencies. This concept can be found in Lenart and Pipie« [33,34] and Lenart et al [46].…”

“…The details of both the analytical form of the test statistics, the critical values of the proposed test as well as a discussion about the subsampling method's consistency can be found in Lenart [45] and Lenart and Pipie« [33,44]. Note that test statistics and critical values are continuous functions of argument ψ.…”

“…In this paper we examine the empirical properties of the credit cycle in selected European countries using two alternative nonparametric approaches based on dierent but much more general assumptions compared to the standard approach. The rst approach is based on representing cyclical uctuations in terms of almost periodic mean function utilising the idea of deterministic cycle; see Harvey [31], Lenart and Pipie« [33,34]. The second approach is based on detrending and nonparametric spectral analysis.…”

Do loan loss provisions accounting and procyclicality matter for the effects of capital on loan growth of big banks in the European Union?

“…To identify contractionary periods, we refer to dataset available in the study of Olszak et al [2014b], which was prepared following the approach of Lenart, Pipień [2013].…”

Rynek kapitałowy - szanse i bariery

“…In our study, we apply a dataset covering 72 observations in the period of the 1st quarter of 1995 up to the 4th quarter 2012 in almost all EU countries (but for Croatia, Cyprus, Czech Republic, Iceland, Ireland, Malta, Romania and Spain). The cyclical component, estimated according to the subsampling scheme was applied to assess whether in a particular year the economy was in a downturn or not (Lenart and Pipień, 2013). The Downturn period is identified in the case at least two quarters in a year can be characterized by a slowdown or a recession.…”