Cyclicality of industrial production in the context of time and frequency domain

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

Jitka Poměnková¹ 

[1] Ústav financí, Mendelova univerzita v Brně, Zemědělská l, 613 00 Brno, Česká republika;

关键词: cyclical structure;    dating process;    time and frequency domain;    growth business cycle;   

DOI  :  10.11118/actaun201058060355

来源: DOAJ

【 摘 要 】

Presented paper is focused on evaluation of cyclical behaviour of industrial production of the Czech Republic in time and frequency domain. Analyses in both domains are done in the context of commonly used detrending techniques necessary for obtaining growth business cycle. In the case of time domain analysis, the length of existing cycles is calculated on the basis of dating method application, i.e. right and left version of naive rules as well as Bry–Boschan algorithm. In the case of frequency domain, estimate of the spectra using periodogram and autoregressive process with optimum lag are used. In the time domain evaluation of the unity of the results of detrending techniques from the turning points identification is done as well. All analysis are done on the data of industrial production in the Czech Republic in 1996/Q1–2008/Q4.

【 授权许可】

Unknown