Measuring Business Cycle in the Economy

This study measures business cycle in the economy of Iran between 1988:2 to 2010:1, using Hodrick and Prescott (1997), Baxter and King (1999), Christiano and Fitzgerald (2003) and Beveridge and Nelson (1981) (both univariate and multivariate) methods. The results of the sensitivity analysis of different methods are analyzed by using Komijani and Mojab (2012) weighted average method. The results show that, the dating of business cycles based on NBER definition of expansion andrecession is not sensitive to the usage of different methods, while the depth of cycles are sensitive to the statistical method.

Keywords:

Business Cycle , Time Series Filters , Hodrick and Prescott , Baxter and King , Christiano and Fitzgerald , Beveridge and Nelson