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Time filter

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Brno, Czech Republic

Pomenkova J.,Mendel University in Brno | Marsalek R.,Ustav Radioelektroniky
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis | Year: 2010

The aim of this paper is to evaluate statistical significance of the business cycle periodicity types in the Czech Republic between 1996/Q1-2008/Q4. Cyclical fluctuation representing a growth business cycle is taken as the result of de-trending input values using filtering techniques, namely Hodrick-Prescott filter and Baxter-King filters. Thereafter, identification of periodicity type is viewed from frequency analysis perspective, i.e. using harmonic analysis. Critical values for the 1%, 5% and 10% risk for the test designed by R. A. Fisher are derived and enumerated. Comparing values of periodogram with critical values of the R. A. Fisher test conclusion about statistic significance of periodicity is finished. Growth business cycle is identified on the basis of quarterly values of industrial production in the Czech Republic 1996/Q1-2008/Q4. Obtained results - the lengths of significance periods - are compared with economic studies.


Pomenkova J.,Ustav Radioelektroniky | Kapounek S.,Mendel University in Brno | Marsalek R.,Ustav Radioelektroniky
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis | Year: 2011

Presented paper focuses on consideration and evaluation of methodical approaches to analyze cyclical structure character of economic activity in transition economy. As a starting point, work in time domain is applied, which is followed in frequency domain approach. Both approaches are viewed from methodical as well as application point of view and their advantage and disadvantage are discussed. Consequently, time-frequency domain approach is added and applied on real data. On the basis of obtained results recommendation is formulated. All discussed methodical approaches are also considered from the perspective of capability to evaluate behaving of business cycle in time of global economic crisis before/after year 2008. The empirical part of the paper deals with data of gross domestic product in the Czech Republic in 1996/Q1-2010/Q2.


Kapounek S.,Mendel University in Brno | Pomenkova J.,Ustav Radioelektroniky
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis | Year: 2012

The authors focus on financial stability in the Eurozone and propose alternative indicator for macroprudential policy implementation. Rapid growth of the shadow banking system biases increase in loans to identify financial instability. The velocity of money represented money demand in the economy. The empirical part of the paper applies wavelet analysis to identify cyclical co-movements in money velocity and liquidity supply. The authors provide recommendations for policymakers to stabilize global liquidity shocks and reduce procyclical effects by institutions which supply official liquidity in their domestic currency - central banks.


Kapounek S.,Mendel University in Brno | Pomenkova J.,Ustav Radioelektroniky
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis | Year: 2012

The purpose of our paper is to define rules for decision of existence spurious synchronization of countries within the currency area. We devote this new methodological approach from an empirical research based on the variability of a dynamic correlation (correlation in frequency domain). We analyze the dynamic correlation in full range and in the business cycle frequencies as well. We also consider lags in economic activity co-movements. Contrary to the standard approach we show its insufficiency especially in case of time domain instruments. For this goal GDP values in quarters of the four Visegrad countries and the Eurozone in the period 1997/Q1-2011/Q1 are used.

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