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Second-order moments of frequency asymmetric cycles

Author

Listed:
  • Miguel Artiach

    (Dpto. Fundamentos del Análisis Económico)

Abstract

Second-order moments, as even functions in time, are conventionally regarded as containing no information about the time irreversible nature of a sequence and therefore about its frequency asymmetry. However, this paper shows that the frequency asymmetry produces a clearly distinct behaviour in second-order moments that can be observed in both the time domain and the frequency domain. In addition, a frequency domain method of estimation of the differing lengths of the recessionary and expansionary stages of a cycle is proposed and its finite sample performance evaluated. Finally, the asymmetric patterns in the waves of the US unemployment rate and in the sunspot index are analysed.

Suggested Citation

  • Miguel Artiach, 2011. "Second-order moments of frequency asymmetric cycles," Working Papers. Serie AD 2011-27, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    • Handle: RePEc:ivi:wpasad:2011-27
    as

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    File URL: http://www.ivie.es/downloads/docs/wpasad/wpasad-2011-27.pdf
    File Function: Fisrt version / Primera version, 2011
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    frequency asymmetry; time irreversibility; periodogram; correlogram; business cycle;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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