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Peaks and Troughs of Cycles and Filtering Methods
https://seijo.repo.nii.ac.jp/records/3177
https://seijo.repo.nii.ac.jp/records/31777b22bf84-4432-47de-86b6-642e9a27771a
名前 / ファイル | ライセンス | アクション |
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200_001 (45.0 MB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2014-08-26 | |||||
タイトル | ||||||
タイトル | Peaks and Troughs of Cycles and Filtering Methods | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | Peaks and Troughs of Cycles and Filtering Methods | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
ページ属性 | ||||||
内容記述タイプ | Other | |||||
内容記述 | P(論文) | |||||
著者 |
大津, 武
× 大津, 武 |
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著者別名 | ||||||
識別子Scheme | WEKO | |||||
識別子 | 7991 | |||||
姓名 | Otsu, Takeshi | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | 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%. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 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%. | |||||
書誌情報 |
成城大學經濟研究 en : Seijo University economic papers 号 200, p. 1-65, 発行日 2013-03 |
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出版者 | ||||||
出版者 | 成城大学 | |||||
ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 03874753 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AN00127472 | |||||
論文ID(NAID) | ||||||
識別子タイプ | NAID | |||||
関連識別子 | 110009579118 |