Iolanda Lo Cascio , Queen Mary, University of London Stephen Pollock , Queen Mary, University of London
May 1, 2007
Download full paper
The income cycles that have been experienced by six OECD countries over the past 24 years are analysed. The amplitude of the cycles relative to the level of aggregate income varies amongst the countries, as does the degree of the damping that affects the cycles. The study aims to reveal both of these characteristics. It also seeks to determine whether there exists a clear relationship between the degree of damping and the length of the cycles. In order to estimate the parameters of the cycles, the data have been subjected to the processes of detrending, anti-alias filtering and subsampling.
J.E.L classification codes: E32, C22
Keywords:Business cycles, Autoregressive models