Separating yolk from white: a filter based on economic properties of trend and cycle
by Peng Zhou
International Journal of Computational Economics and Econometrics (IJCEE), Vol. 11, No. 1, 2021

Abstract: This paper proposes a new filter technique to separate trend and cycle based on stylised economic properties, 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 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).

Online publication date:: Fri, 11-Dec-2020

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