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:: year 7, Issue 21 (Autumn 2014) ::
JMBR 2014, 7(21): 381-405 Back to browse issues page
A Sensitivity Analysis of the Identification of Business Cycles to the Choice of the Statistical Method
Ramin Mojab * , Seyed Mehdi Barakchian
Abstract:   (3248 Views)

Identification of business cycles is important because formulating a proper economic policy depends crucially on correct identification of the economic conditions. Einian and Barakchian (1393 Hijri-Shamsi) identified business cycles in the Iranian economy based on a univariate statistical method. In this paper, the sensitivity of the results to the usage of the statistical methods of Hodrick and Presscott (1997), Baxter and King (1999), Christiano and Fitzgerald (2003), Beveridge and Nelson (1981) and Stock and Watson (1988) is analyzed. The results show that identifying business cycles based on NBER definition of expansion and recession is not sensitive to the statistical method used, while the size of the output gap does critically depends on it.

Full-Text [PDF 2414 kb]   (3471 Downloads)    
Type of Study: Empirical Study |
Received: 2015/06/24 | Accepted: 2015/06/24 | Published: 2015/06/24


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year 7, Issue 21 (Autumn 2014) Back to browse issues page
فصلنامه پژوهش‌های پولی-بانکی Journal of Monetary & Banking Research
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