Measuring Business Cycles: Wavelet Analysis of Economic Time Series
نویسنده
چکیده
Multiresolution wavelet analysis is a natural way to decompose economic time series into components of various frequencies: long-run trend, business-cycle component, and high frequency noise. This paper illustrates the method on real GNP and inflation. The business-cycle component of the wavelet-filtered series closely resembles the series filtered by the approximate bandpass filter (Baxter and King 1999). JEL classification: C22, E32. First draft: May 6, 2003. ∗Department of Economics, Harvard University. E-mail: [email protected]. 1
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