, Volume 11, Issue 1, pp 93–125 | Cite as

A contribution to the analysis of historical economic fluctuations (1870–2010): filtering, spurious cycles, and unobserved component modeling

  • José Luis Cendejas
  • Félix-Fernando MuñozEmail author
  • Nadia Fernández-de-Pinedo
Original Paper


Time series filtering methods such as the Hodrick–Prescott (HP) filter, with a consensual choice of the smoothing parameter, eliminate the possibility of identifying long swing cycles (e.g., Kondratieff type) or, alternatively, may distort periodicities that are in fact present in the data, giving rise, for example, to spurious Kuznets-type cycles. In this paper, we propose filtering Maddison’s time series for the period 1870–2010 for a selection of developed countries using a less restrictive filtering technique that does not impose but instead estimates the cutoff frequency. In particular, we use unobserved component models that optimally estimate the smoothing parameter. Using this methodology, we identify cycles of periods, primarily in the range of 4–7 years (Juglar-type cycles), and a number of patterns of cyclical convergence. We analyze the historical processes underlying this last empirical finding: Peacetime periods, monetary arrangements, trade and investment flows, and industrial boosts are confluent forces driving the economic dynamism. After 1950, we observe a common business cycle factor that groups all economies, which is consistent with the consolidation of the so-called second globalization.


Historical business cycles Spectral analysis Unobserved component models Maddison’s time series 

JEL Classification

C32 E32 N1 



We acknowledge research funding from Instituto de Investigaciones Económicas y Sociales Francisco de Vitoria (Grant #6-2015); Spanish National Plan for Scientific and Technical Research and Innovation grants CSO2014-53293-R and HAR 2012-35965/His; and the research group IT807-13.


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Copyright information

© Springer-Verlag Berlin Heidelberg 2015

Authors and Affiliations

  • José Luis Cendejas
    • 1
  • Félix-Fernando Muñoz
    • 2
    Email author
  • Nadia Fernández-de-Pinedo
    • 2
  1. 1.Universidad Francisco de Vitoria, Pozuelo de AlarcónMadridSpain
  2. 2.Universidad Autónoma de MadridMadridSpain

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