There is a debate in the literature whether the dynamics of an economy is chaotic or stochastic, and whether shocks are endogenous or exogenous (e.g. RBC theory, Austrian School, Neo-Keynesian economics, etc.). Most studies concentrated on financial time series (e.g. stock indices) because of accessibility of data, frequency and length. For example, Mastroeni et al. [20, 21] found co-existence of stochastic and chaotic behaviour in copper time series and energy prices. In finance where data is abundant, both in terms of frequency and asset, results are mixed from no evidence, to weak evidence to evidence type [12]. Instead, in this book, with an extensive analysis on macroeconomic data (i.e. consumption, investment, capital and income), we focus on economic time series with the aim to investigate two issues. The first is the applications of recurrence plots, and their quantitative description provided by RQA, to dynamical regimes of business time series. The second issue we investigate is whether RQA can give some indications on the nature of business cycles as well, as on the nature of macroeconomic variables and the economy [30].

Recurrence Quantification Analysis of Business Cycles

Giovanna Zimatore
2021-01-01

Abstract

There is a debate in the literature whether the dynamics of an economy is chaotic or stochastic, and whether shocks are endogenous or exogenous (e.g. RBC theory, Austrian School, Neo-Keynesian economics, etc.). Most studies concentrated on financial time series (e.g. stock indices) because of accessibility of data, frequency and length. For example, Mastroeni et al. [20, 21] found co-existence of stochastic and chaotic behaviour in copper time series and energy prices. In finance where data is abundant, both in terms of frequency and asset, results are mixed from no evidence, to weak evidence to evidence type [12]. Instead, in this book, with an extensive analysis on macroeconomic data (i.e. consumption, investment, capital and income), we focus on economic time series with the aim to investigate two issues. The first is the applications of recurrence plots, and their quantitative description provided by RQA, to dynamical regimes of business time series. The second issue we investigate is whether RQA can give some indications on the nature of business cycles as well, as on the nature of macroeconomic variables and the economy [30].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11389/34370
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