Peaks and Troughs of Cycles and Filtering Methods
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概要
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This paper investigates performance of different bandpass filters to replicate the reference dates of business cycles in Japan. The main findings are summarized as follows. First, the turning points of the official reference dates (classical cycle) are closest to those of the growth cycle obtained by the Butterworth filtering with the pass band of 12 to 24 quarters per cycle. The Butterworth filters give almost identical results whether based on the tangent or the sine function. Second, although the estimates of the cycles depend on sample sizes and periods, dates of the turning points are robustly identified. Among the filters, the HP filter gives rise to the most robust estimates, but shows large leakage and compression effects. Finally, the amplitude of the business cycle is around 20%.
- 2013-03-00
著者
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