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Recurrence quantification analysis of business cycles

Author

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  • Orlando, Giuseppe
  • Zimatore, Giovanna
Abstract
This paper investigates, by means of recurrence quantification analysis, the characteristics of trade cycles and economic development. Trade cycles are complex phenomena oscillating because of economic downturns and expansions. In this paper the features of the underlying dynamics are studied over an extensive dataset e.g. Levy and Chen, OECD, BEA, etc. It is shown that recurrence quantification analysis can be suitably applied to economics and, therefore, may help in anticipating transitions from laminar (i.e. regular) to turbulent (i.e. chaotic) phases such as USA GDP in 1949, 1953, etc. Moreover, recurrence quantification analysis detects differences between macroeconomic variables, and highlights hidden features of economic dynamics.

Suggested Citation

  • Orlando, Giuseppe & Zimatore, Giovanna, 2018. "Recurrence quantification analysis of business cycles," Chaos, Solitons & Fractals, Elsevier, vol. 110(C), pages 82-94.
    • Handle: RePEc:eee:chsofr:v:110:y:2018:i:c:p:82-94
    DOI: 10.1016/j.chaos.2018.02.032
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    Citations

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    Cited by:

    1. Giuseppe Orlando & Fabio Della Rossa, 2019. "An Empirical Test on Harrod’s Open Economy Dynamics," Mathematics, MDPI, vol. 7(6), pages 1-13, June.
    2. Dezhbakhsh, Hashem & Levy, Daniel, 2022. "Interpolation and shock persistence of prewar U.S. macroeconomic time series: A reconsideration," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 213.
    3. Zhou, Ling & You, Zhenzhen & Tang, Yun, 2021. "A new chaotic system with nested coexisting multiple attractors and riddled basins," Chaos, Solitons & Fractals, Elsevier, vol. 148(C).
    4. Ashe, Sinéad & Egan, Paul, 2023. "Examining financial and business cycle interaction using cross recurrence plot analysis," Finance Research Letters, Elsevier, vol. 51(C).
    5. Orlando, Giuseppe & Bufalo, Michele, 2022. "Modelling bursts and chaos regularization in credit risk with a deterministic nonlinear model," Finance Research Letters, Elsevier, vol. 47(PA).
    6. Willi Semmler & Fabio Della Rossa & Giuseppe Orlando & Gabriel R. Padro Rosario & Levent Kockesen, 2023. "Endogenous Economic Resilience, Loss of Resilience, Persistent Cycles, Multiple Attractors, and Disruptive Contractions," Working Papers 2309, New School for Social Research, Department of Economics.
    7. Mostafa Shabani & Martin Magris & George Tzagkarakis & Juho Kanniainen & Alexandros Iosifidis, 2022. "Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots," Papers 2210.14605, arXiv.org, revised Nov 2022.
    8. He, Qian & Yu, Fusheng, 2023. "Trend recurrence analysis and time series classification via trend fuzzy granular recurrence plot method," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).

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    More about this item

    Keywords

    Determinism; Numerical chaos; Economic dynamics; Business fluctuations; Cycles;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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