Stylized Facts of Business Cycle in the Czech Republic

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Authors

HLOUŠEK Miroslav

Year of publication 2006
Type Article in Proceedings
Conference Mathematical Methods in Economics 2006
MU Faculty or unit

Faculty of Economics and Administration

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.
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