The main goal of this paper is to propose the probabilistic description of cyclical (business) fluctuations. We generalize a fixed deterministic cycle model by incorporating the time-varying amplitude. More specifically, we assume that the mean function of cyclical fluctuations depends on unknown frequencies (related to the lengths of the cyclical fluctuations) in a similar way to the almost periodic mean function in a fixed deterministic cycle, while the assumption concerning constant amplitude is relaxed. We assume that the amplitude associated with a given frequency is time-varying and is a spline function. Finally, using a Bayesian approach and under standard prior assumptions, we obtain the explicit marginal posterior distribution for the vector of frequency parameters. In our empirical analysis, we consider the monthly industrial production in most European countries. Based on the highest marginal data density value, we choose the best model to describe the considered growth cycle. In most cases, data support the model with a time-varying amplitude. In addition, the expectation of the posterior distribution of the deterministic cycle for the considered growth cycles has similar dynamics to cycles extracted by standard bandpass filtration methods.
The aim of this paper is to examine the problem of existing seasonal volatility in total and disaggregated HICP for Baltic Region countries (Denmark, Estonia, Latvia, Finland, Germany, Lithuania, Poland and Sweden). Using nonparametric tests, we found that in the case of m-o-m prices, including fruit, vegetables, and total HICP, the homogeneity of variance during seasons is rejected. Based on these findings, we propose an exponential smoothing model with periodic variance of error terms that capture the repetitive seasonal variation (in conditional or unconditional second moments). In a pseudo-real data experiment, the short-term forecasts (nowcasting) for the considered components of inflation were determined using different specifications of considered models. The forecasting performance of the models was measured using one of the scoring rules for probabilistic forecasts called logarithmic score. We found instead that while the periodic phenomenon in variance was statistically significant, the models with a periodic phenomenon in variance of error terms do not significantly improve forecasting performance in disaggregated cases and in the case of total HICP. The simpler models with constant variance of error term have comparative forecasting (nowcasting) performance over the alternative model.
We discuss the notion of the financial cycle making a clear indication that the thorough study of its empirical properties in case of developing economies is still missing. We focus on the observed series of credit and equity and make formal statistical inference about the properties of the cycles in case of Polish economy. The non-standard subsampling procedure and discrete spectral characteristics of almost periodically correlated time series are applied to make formal statistical inference about the cycle. We compare the results with those obtained for UK and USA. We extract the cyclical component and confront empirical properties of the financial cycle for small open economy with those established so far in case of developed economies.
This article aims at constructing a new method for testing the statistical significance of seasonal fluctuations for non-stationary processes. The constructed test is based on a method of subsampling and on the spectral theory of Almost Periodically Correlated (APC) time series. In the article we consider an equation of a nonstationary process, containing a component which includes seasonal fluctuations and business cycle fluctuations, both described by an almost periodic function. We build subsampling test justifying the significance of frequencies obtained from the Fourier representation of the unconditional expectation of the process. The empirical usefulness of the constructed test is examined for selected macroeconomic data. The article studies survey indicators of economic climate in industry, retail trade and consumption for European countries.
The aim of the article is to construct an asymptotically consistent test, based on a subsampling approach, to verify hypothesis about existence of the individual or common deterministic cycle in coordinates of multivariate macroeconomic time series. By the deterministic cycle we mean the periodic or almost periodic fluctuations in the mean function in cyclical fluctuations. To construct test we formulate a multivariate non-parametric model containing the business cycle component in the unconditional mean function. The construction relies on the Fourier representation of the unconditional expectation of the multivariate Almost Periodically Correlated time series and is related to fixed deterministic cycle presented in the literature. The analysis of the existence of common deterministic business cycles for selected European countries is presented based on monthly industrial production indexes. Our main findings from the empirical part is that the deterministic cycle can be strongly supported by the data and therefore should not be automatically neglected during analysis without justification.
The aim of this study was to examine the changes in the chemical composition of shallow groundwater and its quality that have occurred in the last decade in an agriculturally used, heavily populated and characterized by a complex geological structure, catchment of the Stara Rzeka river, located in the ﬂysch part of the Outer Carpathians. Water samples were collected during 2013 from 19 still operating wells. Analyses of pH, electrolytic conductivity and chemical composition by ion chromatography were conducted. The obtained results were compared with the results of studies conducted in 2003 for the same wells. The quality of groundwater and its suitability for consumption was assessed based on the regulations currently existing in Poland. 21% of the wells still do not meet the requirements for drinking water in terms of at least one component. However, there was a decrease in the concentration of mineral forms of nitrogen and phosphorus in most of the wells and their mean concentration as compared to 2003 was reduced. In terms of physical and chemical characteristics groundwater of this region is typical of the hypergenic zone of the temperate climate. The highest concentrations were observed for Ca2+ and HCO3- ions, while K+ and Cl- were characterized by the largest variability. Principal Component Analysis (PCA) demonstrated that the factors determining the quality and chemical composition of the analyzed waters include the composition of bedrock (mineralogy of the rock environment) and human economic activity, and that they have not been signiﬁcantly changed over the past decade.
Due to insufﬁcient operation efﬁciency, the studied treatment plant has undergone modernization. The aim of this study was to assess whether this modernization improved quality of the STP efﬂuent and water quality in the receiver. The research period of ﬁfty months covered time before and after the modernization. Samples were collected in four sites – upstream and downstream of the STP and by the sewage discharge. Electrolytic conductivity, water temperature and pH were measured onsite. Chemical analyzes were based on ion chromatography and determined the concentration of NH4+, NO3-, NO2-, PO43-, TDS. Microbiological analysis comprised serial dilutions to assess the number of mesophilic and psychrophilic bacteria and membrane ﬁltration to enumerate E. faecalis, total and fecal coliforms as well as total and fecal E. coli. Values of most analyzed parameters did not improve after the modernization, or improved for a very short period of time (NH4+), while some of them even increased, such as PO43-, total and thermotolerant coliforms and E. coli. The maximum value of thermotolerant E. coli reached nearly 7 million CFU/100 ml and was observed after modernization. Also at the sites situated downstream of the STP some of analyzed parameters increased. The conducted modernization did not improve the quality of treated sewage and even a further deterioration was observed. It could have been a result of rapidly growing number of tourists visiting the studied area, thus generating large amounts of sewage causing STP overload coupled with poor water and wastewater management. Signiﬁcant percentage of unregistered tourists hinders proper assessment of the STP target efﬁciency.