Analysis of business cycles using the S-transform

This paper applies the S-transform(ST) for the analysis of business cycles. The economic time series contain stochastic components that are time dependent. Traditional methods of business cycle analysis, such as the correlation and spectral analysis capture information either in time or frequency domain. This approach allows capturing not only the timing of shocks that trigger the business cycle, but also the frequency of the business cycle simultaneously with phase correction. In this paper we study two macro-economic indicators: Dow Jones Industrial Average of the U.S. and Indian agricultural raw materials index.