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Separating yolk from white: a filter based on economic properties of trend and cycle

Zhou, Peng 2021. Separating yolk from white: a filter based on economic properties of trend and cycle. International Journal of Computational Economics and Econometrics 11 (1) , pp. 78-83. 10.1504/IJCEE.2021.111716
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Abstract

This paper proposes a new filter technique to separate trend and cycle based on stylised economic properties of trend and cycle, rather than relying on ad hoc statistical properties such as frequency. Given the theoretical separation between economic growth and business cycle literature, it is necessary to make the measures of trend and cycle match what the respective theories intend to explain. The proposed filter is applied to the long macroeconomic data collected by the Bank of England (1700-2015).

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Publisher: Inderscience
ISSN: 1757-1170
Date of First Compliant Deposit: 23 October 2020
Date of Acceptance: 16 November 2019
Last Modified: 14 Jan 2021 14:09
URI: http://orca.cf.ac.uk/id/eprint/135888

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