Recurrence quantification analysis of business cycles. (May 2018)

• Record Type: Journal Article
• Authors: Orlando, Giuseppe; Zimatore, Giovanna
• Is Part Of: Chaos, solitons and fractals. Volume 110(2018)
• Page Start: 82
• Page End: 94
• Publication Date: 2018-05
• Subjects: Determinism -- Numerical chaos -- Economic dynamics -- Business fluctuations -- Cycles; C61 -- E32 -- E37; 65P20 -- 70K75 -- 91B55; Chaotic behavior in systems -- Periodicals; Solitons -- Periodicals; Fractals -- Periodicals; Chaotic behavior in systems; Fractals; Solitons; Periodicals; 003.7
• DOI: 10.1016/j.chaos.2018.02.032
• Languages: English
• ISSNs: 0960-0779

Abstract

Highlights: Recurrence quantification analysis (RQA) first time applied to a comprehensive set of macroeconomic data. RQA suits to study business cycles and could be used for early detection of recessions. RQA is able to distinguish between macroeconomic variables. RQA confirms that different paths in economy do not depend on structural differences (which is an indication of chaos). 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.