Скачать или смотреть Demystifying the HP filter with an easy-to-use R package - Alexandru Monahov

Demystifying the HP filter with an easy-to-use R package with Alexandru Monahov from the Bank of England

This session introduces participants to the Hodrick-Prescott filter, a data series smoothing technique frequently used in economics and finance, briefly explains the underlying mathematics and presents the easy-to-use hpfilter R package, which calculates both the one- and two-sided implementations of the filter. The HP filter is a mathematical tool used to smooth out short-term fluctuations in data and reveal underlying long-term trends. Popularized in the 1990s by economists Robert Hodrick and Edward Prescott, it has become a staple in fields like macroeconomics, real business cycle theory and finance. Participants will get a hands-on tour of the package and learn to apply the HP filter to a concrete use case in finance. They will learn how to compile the trend and cycle components from a financial time series, plot the results and succinctly interpret the findings.

Alexandru Monahov, Bank of England

Alexandru Monahov is a Research Economist in the Bank of England’s Financial Stability Directorate, Stress Testing Strategy Division. His expertise covers research and policy work on systemic risk, prudential regulation, stress-testing and macro-financial linkages by means of econometric analysis, ML models and ABMs. Alexandru received his PhD in Economics from the University Cote d’Azur and holds a Professional Certificate in Advanced Risk Management from the New York Institute of Finance.