IMPACT OF A MODIFIED HP FILTER ON COUNTERCYCLICAL BEHAVIOR OF THE SWISS FISCAL RULE

IF 5 Q1 ECONOMICS

Equilibrium-Quarterly Journal of Economics and Economic Policy Pub Date : 2016-12-28 DOI:10.12775/EQUIL.2016.029

A. Pigoń, M. Ramsza

引用次数: 1

Abstract

Fiscal rules are an idea that has been getting more attention lately due to the recent economic crisis. Fiscal rules has been tested for many properties, including countercyclical behavior. The present paper focuses on the Swiss fiscal rule and investigates the impact of a modified HP filter, used in the rule, on countercyclical behavior of the rule. The paper uses real GDP time series for over a hundred countries and applies the rule to each time series in two variants, with a standard HP filter and a modified HP filter. For each result procyclicality indices are calculated. It is found that the modification of HP filter, used in the Swiss fiscal rule, increases countercyclical behavior of the rule.

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改进HP过滤器对瑞士财政规则反周期行为的影响

由于最近的经济危机，财政规则是最近受到更多关注的一个想法。财政规则已经在许多领域经受了考验，包括反周期行为。本论文着重于瑞士财政规则，并调查了在规则中使用的修改HP过滤器对规则反周期行为的影响。本文使用了一百多个国家的真实GDP时间序列，并将该规则应用于两个变量的每个时间序列，使用标准的HP滤波器和修改的HP滤波器。对每个结果计算顺周期性指数。发现在瑞士财政规则中使用的HP过滤器的修改增加了规则的反周期行为。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Equilibrium-Quarterly Journal of Economics and Economic Policy ECONOMICS-

CiteScore

9.20

自引率

3.50%

发文量

审稿时长

36 weeks

期刊介绍： Equilibrium. Quarterly Journal of Economics and Economic Policy is a scientific journal dedicated to economics, which is the result of close cooperation between the Instytut Badań Gospodarczych/Institute of Economic Research (Poland) and Polish Economic Society and leading European universities. The journal constitutes a platform for exchange of views of the scientific community, as well as reflects the current status and trends of world science and economy. The journal especially welcome empirical articles making use of quantitative methods in: Macroeconomics and Monetary Economics, International Economics, Financial Economics and Banking, Public Economics, Business Economics, Labor and Demographic Economics, Economic Development, and Technological Change, and Growth. Current most preferable topics and special issues: The economics of artificial intelligence: business potentials and risks; Digitalization and entrepreneurship in economics; Sustainable socio-economic development, environmental and ecological economics; Transition in the energy market (improving energy efficiency, alternative energy sources, renewable energy, energy security).