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Detrending and financial cycle facts across G7 countries: mind a spurious medium term!

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Personen und Körperschaften: Schüler, Yves S. (VerfasserIn)
Titel: Detrending and financial cycle facts across G7 countries: mind a spurious medium term!/ Yves S. Schüler
Format: E-Book
Sprache: Englisch
veröffentlicht:
Frankfurt am Main, Germany European Central Bank [2018]
Gesamtaufnahme: Europäische Zentralbank: Working paper series ; no 2138 (March 2018)
Quelle: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
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520 |a I show that the detrending of financial variables with the Hodrick and Prescott (1981, 1997) (HP) and band-pass filters leads to spurious cycles. I find that distortions become especially severe when considering medium-term cycles, i.e., cycles that exceed the duration of regular business cycles. In particular, these medium-term filters amplify the variances of cycles of duration around 20 to 30 years up to a factor of 204, completely cancelling out shorter-term fluctuations. This is important because it is common practice, and recommended under Basel III, to extract medium-term cycles using such filters; e.g., the HP filter with a smoothing parameter of 400,000. In addition, I find that financial cycle facts, i.e., differing amplitude, duration, and synchronisation of cycles in financial variables relative to cycles in GDP, are robust. For HP and band-pass filters, differences to GDP become marginal due to spurious cycles. 
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contents I show that the detrending of financial variables with the Hodrick and Prescott (1981, 1997) (HP) and band-pass filters leads to spurious cycles. I find that distortions become especially severe when considering medium-term cycles, i.e., cycles that exceed the duration of regular business cycles. In particular, these medium-term filters amplify the variances of cycles of duration around 20 to 30 years up to a factor of 204, completely cancelling out shorter-term fluctuations. This is important because it is common practice, and recommended under Basel III, to extract medium-term cycles using such filters; e.g., the HP filter with a smoothing parameter of 400,000. In addition, I find that financial cycle facts, i.e., differing amplitude, duration, and synchronisation of cycles in financial variables relative to cycles in GDP, are robust. For HP and band-pass filters, differences to GDP become marginal due to spurious cycles.
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spelling Schüler, Yves S. VerfasserIn aut, Detrending and financial cycle facts across G7 countries mind a spurious medium term! Yves S. Schüler, Frankfurt am Main, Germany European Central Bank [2018], 1 Online-Ressource (circa 48 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Working paper series / European Central Bank no 2138 (March 2018), I show that the detrending of financial variables with the Hodrick and Prescott (1981, 1997) (HP) and band-pass filters leads to spurious cycles. I find that distortions become especially severe when considering medium-term cycles, i.e., cycles that exceed the duration of regular business cycles. In particular, these medium-term filters amplify the variances of cycles of duration around 20 to 30 years up to a factor of 204, completely cancelling out shorter-term fluctuations. This is important because it is common practice, and recommended under Basel III, to extract medium-term cycles using such filters; e.g., the HP filter with a smoothing parameter of 400,000. In addition, I find that financial cycle facts, i.e., differing amplitude, duration, and synchronisation of cycles in financial variables relative to cycles in GDP, are robust. For HP and band-pass filters, differences to GDP become marginal due to spurious cycles., Europäische Zentralbank Working paper series no 2138 (March 2018) 213800 (DE-627)372370322 (DE-576)108090442 (DE-600)2123559-4 1725-2806, http://hdl.handle.net/10419/179353 Resolving-System kostenfrei Volltext, https://doi.org/10.2866/28808 Resolving-System kostenfrei Volltext, http://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2138.en.pdf Verlag kostenfrei Volltext, https://doi.org/10.2866/28808 LFER, LFER 2019-05-07T00:00:00Z
spellingShingle Schüler, Yves S., Detrending and financial cycle facts across G7 countries: mind a spurious medium term!, Europäische Zentralbank, Working paper series, no 2138 (March 2018), I show that the detrending of financial variables with the Hodrick and Prescott (1981, 1997) (HP) and band-pass filters leads to spurious cycles. I find that distortions become especially severe when considering medium-term cycles, i.e., cycles that exceed the duration of regular business cycles. In particular, these medium-term filters amplify the variances of cycles of duration around 20 to 30 years up to a factor of 204, completely cancelling out shorter-term fluctuations. This is important because it is common practice, and recommended under Basel III, to extract medium-term cycles using such filters; e.g., the HP filter with a smoothing parameter of 400,000. In addition, I find that financial cycle facts, i.e., differing amplitude, duration, and synchronisation of cycles in financial variables relative to cycles in GDP, are robust. For HP and band-pass filters, differences to GDP become marginal due to spurious cycles.
title Detrending and financial cycle facts across G7 countries: mind a spurious medium term!
title_auth Detrending and financial cycle facts across G7 countries mind a spurious medium term!
title_full Detrending and financial cycle facts across G7 countries mind a spurious medium term! Yves S. Schüler
title_fullStr Detrending and financial cycle facts across G7 countries mind a spurious medium term! Yves S. Schüler
title_full_unstemmed Detrending and financial cycle facts across G7 countries mind a spurious medium term! Yves S. Schüler
title_in_hierarchy no 2138 (March 2018). Detrending and financial cycle facts across G7 countries: mind a spurious medium term! ([2018])
title_short Detrending and financial cycle facts across G7 countries
title_sort detrending and financial cycle facts across g7 countries mind a spurious medium term
title_sub mind a spurious medium term!
title_unstemmed Detrending and financial cycle facts across G7 countries: mind a spurious medium term!
url http://hdl.handle.net/10419/179353, https://doi.org/10.2866/28808, http://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2138.en.pdf