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Slow Booms and Deep Busts: 160 Years of Business Cycles in Spain

Author

Listed:
  • Gries Thomas

    (Department of Economics, University of Paderborn, Paderborn, Germany)

  • Fritz Marlon

    (Department of Economics, University of Paderborn, Paderborn, Germany)

  • Feng Yuanhua

    (Department of Economics, University of Paderborn, Paderborn, Germany)

Abstract

This paper introduces an economically important new idea for detrending macroeconomic time series and examines the Spanish business cycle pattern with respect to potential asymmetries. To address difficulties in the trend and cycle decomposition, a nonparametric trend estimation approach is introduced and exemplary applied to the Spanish GDP data for the period 1850 to 2015. The application of an iterative plug-in (IPI) algorithm for endogenous bandwidth selection solves the problem of choosing an adequate smoothing parameter for nonparametric regression. The algorithm identifies continuously Moving Trends (MT) with a time length of 34 years. After we estimate the trend nonparametrically, we fit several time series models to the residuals for further analysis. Although asymmetry during expansion and recession phases is indicated, it is not unambiguous.

Suggested Citation

  • Gries Thomas & Fritz Marlon & Feng Yuanhua, 2017. "Slow Booms and Deep Busts: 160 Years of Business Cycles in Spain," Review of Economics, De Gruyter, vol. 68(2), pages 153-166, August.
    • Handle: RePEc:lus:reveco:v:68:y:2017:i:2:p:153-166:n:2
    DOI: 10.1515/roe-2017-0008
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    References listed on IDEAS

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    More about this item

    Keywords

    business cycles; trend and cycle decomposition; SETAR model;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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