Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series

53 Pages Posted: 25 Jul 2000 Last revised: 23 Sep 2022

See all articles by Marianne Baxter

Marianne Baxter

Boston University - Department of Economics; National Bureau of Economic Research (NBER)

Robert G. King

Boston University - Department of Economics; Federal Reserve Bank of Richmond - Research Department; National Bureau of Economic Research (NBER)

Date Written: February 1995

Abstract

This paper develops a set of approximate band-pass filters designed for use in a wide range of economic applications. In particular, we design and implement a specific band-pass filter which isolates business-cycle fluctuations in macroeconomic time series. This filter was designed to isolate fluctuations in the data which persist for periods of two through eight years. This filter also 'detrends' the data, in the sense that it will render stationary time series that are integrated of order two or less, or that contain deterministic time trends. We apply our filter to several of the key macroeconomic time series, and describe the picture of the U.S. postwar business cycle that emerges from our analysis. We also provide detailed comparisons with several alternative detrending methods.

Suggested Citation

Baxter, Marianne and King, Robert G., Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series (February 1995). NBER Working Paper No. w5022, Available at SSRN: https://ssrn.com/abstract=225801

Marianne Baxter (Contact Author)

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Robert G. King

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