Chaotic Detection in Indonesia`s Business Cycle

M. Fajar¹ , E. Fajariyanto²

Section:Research Paper, Product Type: Journal-Paper
Vol.7 , Issue.8 , pp.38-42, Aug-2021

Online published on Aug 31, 2021

Copyright © M. Fajar, E. Fajariyanto . This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
 

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Abstract :
The purpose of this study is to investigate the existence of chaotic dynamics in the Indonesian business cycle. The data used in this study is sourced from Fajar`s research [3-4], namely the cyclical component derived from real GDP 1983 Quarter 1 – 2016 Quarter 3 using the Hodrick-Prescott filter on the lambda value with optimum generalized cross-validation of 988,474. The research concludes that the business cycle does not contain chaotic dynamics. It’s indicated by the Lyapunov exponential value and the fractal dimension which shows that the business cycle is dynamically stable and behaves anti-persistent, meaning that the point in the cycle does not tend to persist in a certain trend (short memory), meaning that the movement of the business cycle has a regime of recession and expansion alternately regular (regular regime).

Key-Words / Index Term :
chaos, fractal dimension, business cycle

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