Measuring Business Cycles: A Wavelet Analysis of Economic Time Series

Yogo, Motohiro

Abstract

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Measuring Business Cycles: A Wavelet Analysis of Economic Time Series

Motohiro Yogo

Federal Reserve Bank of Minneapolis

January 8, 2008

Economics Letters, Vol. 100, No. 2, 2008

Abstract:
Multiresolution wavelet analysis is a natural way to decompose an economic time series into trend, cycle, and noise. The method is illustrated with GDP data. The business-cycle component of the wavelet-filtered series closely resembles the series filtered by the approximate bandpass filter.

Number of Pages in PDF File: 11

Keywords: Band-pass filter, Business cycle, Linear filter, Trend, Wavelets

JEL Classification: C5, E3

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Date posted: April 16, 2008 ; Last revised: January 7, 2011

Suggested Citation

Yogo, Motohiro, Measuring Business Cycles: A Wavelet Analysis of Economic Time Series (January 8, 2008). Economics Letters, Vol. 100, No. 2, 2008. Available at SSRN: http://ssrn.com/abstract=1120482

Contact Information

Motohiro Yogo (Contact Author)

Federal Reserve Bank of Minneapolis ( email )

90 Hennepin Avenue
Minneapolis, MN 55401-1804
United States
612-204-6476 (Phone)
612-204-5515 (Fax)

HOME PAGE: http://www.minneapolisfed.org/research/economists/staff_display.cfm?id=853