Measuring business cycles: A wavelet analysis of economic time series |
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| Authors: | Motohiro Yogo |
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| Institution: | aFinance Department, The Wharton School, University of Pennsylvania, 3620 Locust Walk, Philadelphia, PA 19104, USA;bNational Bureau of Economic Research, Cambridge, MA 02138, USA |
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| 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. |
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| Keywords: | Band-pass filter Business cycle Linear filter Trend Wavelets |
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