Stylized Facts of Business Cycle in the Czech Republic
| Authors | |
|---|---|
| Year of publication | 2006 |
| Type | Article in Proceedings |
| Conference | Mathematical Methods in Economics 2006 |
| MU Faculty or unit | |
| Citation | |
| Field | Economy |
| Keywords | Czech economy - stylized facts - bandpass filter - trend and cyclical components - Granger causality |
| Description | This paper deals with identification of stylized facts of Czech business cycle. Empirical time series are decomposed into trend and cyclical component using bandpass filter. Cross-correlations between cyclical component of GDP and of various time series are computed. Behaviour of the series over the cycle is determined, leading and lagging indicators are identified. The Granger causality between GDP and other aggregate variables is tested. |
| Related projects: |