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evo-macro-cycle-correlation

Deflates nominal series to real values using CPI, applies log transformation and Hodrick-Prescott filter to extract cyclical components, and computes Pearson correlation between two cyclical series.

tasks-evolved/econ-detrending-correlation/environment/skills/evo-macro-cycle-correlation/SKILL.md

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Sep 10, 2026
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# evo-macro-cycle-correlation

Deflates nominal macroeconomic series, applies HP filter for cycle extraction, and computes Pearson correlation between cyclical components.

## Key Functions

### `deflate_nominal_to_real(nominal, cpi)`
Converts nominal to real values: Real_t = (Nominal_t / CPI_t) * 100

### `extract_hp_cycle(real_series, lamb=100)`
Applies np.log() then HP filter (statsmodels hpfilter) to extract cyclical component.
- Uses natural log (np.log, NOT np.log10)
- hpfilter returns (cycle, trend) - parameter name is `lamb`
- lamb=100 for annual data (standard)