Measuring Business Cycles: A Wavelet Analysis of Economic Time Series

11 Pages Posted: 16 Apr 2008 Last revised: 7 Jan 2011

Motohiro Yogo

Princeton University - Department of Economics; National Bureau of Economic Research

Date Written: January 8, 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.

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

JEL Classification: C5, E3

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: https://ssrn.com/abstract=1120482

Motohiro Yogo (Contact Author)

Princeton University - Department of Economics ( email )

Julis Romo Rabinowitz Building
Princeton, NJ 08544
United States

HOME PAGE: http://sites.google.com/site/motohiroyogo/

National Bureau of Economic Research

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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