Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter
Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter
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使用基于时变多元模型的带通滤波器提取稳健的美国经济周期
DOI：
10.1002/jae.1185
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发表时间：
2010
影响因子：
2.1
通讯作者：
E. Zivot
中科院分区：
文献类型：
--
作者：
Drew D. Creal;S. J. Koopman;E. Zivot
我们开发了一个灵活的商业周期指标，该指标考虑了宏观经济变量的潜在时间变化。一致性经济指标基于多元趋势周期分解模型，并从一组适度的美国宏观经济时间序列中构建。特别地，我们考虑了一个未观测分量时间序列模型，该模型具有跨不同时间序列共享的共同周期，但对相移和幅度进行了调整。提取的周期可以解释为基于模型的带通滤波器，旨在强调应用研究人员和政策制定者感兴趣的商业周期频率。不规则分量的随机波动过程和混合分布以及共同周期扰动使我们能够解释数据中存在的异方差。给出了一组不同规格的预测结果。首选模型的点预测表明，随着预测范围的扩大，商业周期的不确定性将迅速增加，未来将出现衰退。版权所有©2010 John Wiley & Sons， Ltd
We develop a flexible business cycle indicator that accounts for potential time variation in macroeconomic variables. The coincident economic indicator is based on a multivariate trend cycle decomposition model and is constructed from a moderate set of US macroeconomic time series. In particular, we consider an unobserved components time series model with a common cycle that is shared across different time series but adjusted for phase shift and amplitude. The extracted cycle can be interpreted as a model-based bandpass filter and is designed to emphasize the business cycle frequencies that are of interest to applied researchers and policymakers. Stochastic volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to account for the heteroskedasticity present in the data. Forecasting results are presented for a set of different specifications. Point forecasts from the preferred model indicate a future recession with the uncertainty over the business cycle growing quickly as the forecast horizon increases. Copyright © 2010 John Wiley & Sons, Ltd.