Impact of a modified HP filter on countercyclical behavior of the Swiss fiscal rule


  • Adam Pigoń Swiss Institute for Empirical Economic Research
  • Michał Ramsza Warsaw School of Economics



fiscal rule, counter cyclical policy


Fiscal rules are an idea that has been getting more attention lately due to the recent economic crisis. Fiscal rules has been tested for many properties, including countercyclical behavior. The present paper focuses on the Swiss fiscal rule and investigates the impact of a modified HP filter, used in the rule, on countercyclical behavior of the rule. The paper uses real GDP time series for over a hundred countries and applies the rule to each time series in two variants, with a standard HP filter and a modified HP filter. For each result procyclicality indices are calculated. It is found that the modification of HP filter, used in the Swiss fiscal rule, increases countercyclical behavior of the rule.


Download data is not yet available.


Alesina, A., Campante, F. R., & Tabellini, G. (2008). Why Is Fiscal Policy Often Procyclical?. Journal of the European Economic Association, 6(5). DOI:
Bruchez, P. A. (2003). A Modification of the HP Filter Aiming at Reducing the End-point Bias. The Federal Finance Administration (FFA) of Switzerland Working Paper, No. OT/2003/3.
Fatás, A., & Mihov, I. (2010). The Euro and Fiscal Policy. In A. Alesina & F. Giavazzi (Eds.). Europe and the Euro. Oxford University Press. DOI:
Geier, A. (2012). Application of the Swiss Fiscal Rule to Artificial Data: A Monte Carlo Simulation. Swiss Journal of Economics and Statistics, 148(I).
Halland, H., & Bleaney, M. (2009). Explaining the Pro-cyclicality of Fiscal Policy in Developing Countries. Credit Research Paper, 11(09).
Holm-Hadulla, F., Hauptmeier, S., & Rother, P. (2012). The Impact of Expenditure Rules on Budgetary Discipline over the Cycle. Applied Economics, 44(25).
Kaminsky, G. L., Reinhart, C. M., & Végh, C. A. (2005). When It Rains, It Pours: Procyclical Capital Flows and Macroeconomic Policies. NBER Macroeconomics Annual 2004, 19. DOI:
Kopits, M. G. (2001). Fiscal Rules: Useful Policy Framework or Unnecessary Ornament? IMF Working Papers, No. 2001-145. DOI: 5089/9781451856545.001.
Kumar, M., Baldacci, E., Schaechter, A., Caceres, C., Kim, D., Debrun, X., & Zymek, R. (2009). Fiscal Rules?anchoring Expectations for Sustainable Public Finances. IMF Staff Paper, Washington DC. Retrieved form https://www.imf. org/external/np/pp/eng/2009/121609.pdf.
Lane, P. R. (2003). Business Cycles and Macroeconomic Policy in Emerging Market Economies. International Finance, 6(1). DOI: 1468-2362.00109.
Schaechter, A., Kinda, T., Budina, N. T., & Weber, A. (2012). Fiscal Rules in Response to the Crisis-Toward the 'Next-Generation' Rules: A New Dataset. IMF Working Paper, WP/12/187.
Talvi, E., & Vegh, C. A. (2005). Tax Base Variability and Procyclical Fiscal Policy in Developing Countries. Journal of Development Economics, 78(1). DOI:
Thornton, J. (2008). Explaining Procyclical Fiscal Policy in African Countries. Journal of African Economies, 17(3). DOI: jae/ejm029.
Wofram Research (2015). Mathematica, ver. 11?. Retrieved form
Woo, J. (2009). Why do More Polarized Countries Run More Procyclical Fiscal Policy?. Review of Economics and Statistics, 91(4). DOI: 1162/rest.91.4.850.
Wyplosz, C. (2012). Fiscal Rules: Theoretical Issues and Historical Experiences. In Fiscal Policy after the Financial Crisis. University of Chicago Press. DOI:




How to Cite

Pigoń, A., & Ramsza, M. (2016). Impact of a modified HP filter on countercyclical behavior of the Swiss fiscal rule. Equilibrium. Quarterly Journal of Economics and Economic Policy, 11(4), 661–674.



Fiscal policy in the European Union countries