Construction of the Business Cycle by Phase Synchronization and Principal Component Analysis
摘要
This work aims to identify the most influential variables that shape and determine the formation of business cycles in five countries: the United States of America, Canada, Germany, Mexico, and Japan. To address the high complexity of the problem caused by the volatility of the series, we employed Phase Synchronization in time series and Principal Component Analysis (PCA) techniques. Applying twelve variables to each country, we found that a generalized economic cycle can be modeled by using a linear combination of the cyclic variables modeled for each system. This captures the most consistent patterns of the variables. Our findings suggest that a leading variable, likely the interest rate, plays a significant role in directing these patterns, except for the case of Japan. The study underscores the importance of considering the nonlinear dynamics of the variables in their long-term evolution mechanisms. The results highlight the need for policymakers to recognize the significance of these variables in shaping economic cycles and to consider the various factors that can influence their behavior.