Measuring and interpreting business cycles:
Saved in:
| Other Authors: | |
|---|---|
| Format: | Book |
| Language: | German |
| Published: |
Oxford [u.a.]
Clarendon Press
1994
|
| Series: | FIEF studies in labour markets and economic policy
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | IX, 273 S. graph. Darst. |
| ISBN: | 019828859X |
Staff View
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Record in the Search Index
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| adam_text | Contents
List of Figures vii
List of Tables viii
Introduction
VIIXY BERGSTROM AND ANDERS VREDIN 1
Part I: The Swedish Business Cycle: Stylized Facts over
130 Years
JOHN HASSLER, PETTER LUNDV1K, TORSTEN PERSSON,
PAUL SODERLIND 9
1. Introduction 11
2. Data 14
3. What are Business Cycles? 18
4. Broad Facts for Sweden, 1861 1988 31
5. Narrow Facts 64
6. Concluding Comments 85
Appendix I.I Data Sources and Definitions 90
Appendix 1.2 Filters and Frequency Domain Statistics 97
Appendix 1.3 Statistical Inference on Filtered Data 105
7. Comment
KLAUS NEUSSER 109
8. Comment
ERLING STEIGUM H4
References to Part I I19
vi Contents
Part II: Macroeconomic Shocks in an Open Economy:
A Common Trends Representation of Swedish
Data, 1871 1990
PETER ENGLUND, ANDERS VREDIN, ANDERS WARNE 125
9. Introduction 127
10. Vector Autoregressions 131
11. Common Trends Models of Macroeconomic
Fluctuations 136
12. Examples 149
13. Data Description 156
14. Impulses and Propagation Mechanisms in Sweden 172
15. What Can We Learn about Business Cycles from
VAR Models? 193
16. Comment
DANNY QUAH 195
17. Comment
MICHAEL BERGMAN 214
References for Part II 219
Part III: Expectations Driven, Non Linear Business
Cycles 225
JEAN MICHEL GRANDMONT
18. Expectations Driven, Non Linear Business Cycles 227
19. Comment 256
SEPPO HONKAPOHJA
References for Part III 263
Index 267
List of Figures
3.1 Comparison of Different Filters 20
3.2 Cyclical Components from Different Filters 26
3.3 Frequency Domain Statistics 29
4.1 4.5 Cyclical Components 32
4.6 4.10 Standard Deviation of Cyclical Components 45
4.11 4.15 Correlation with Current Business Cycle Indicator 51
5.1 Coherence of Foreign Demand and Swedish Output 76
5.2 Coherence of Foreign Demand and Swedish Exports 77
5.3 Coherence of Foreign Demand and Swedish
Manufacturing 77
6.1 Relative Importance of Business Cycles 89
12.1 Gain and Phase of Different Filters 101
13.1 Time Series used in Empirical Analyses 159
13.2 Detrended Price and Money Series 165
13.3 Cointegration Relations: Unrestricted Model 171
14.1 CointegTation Relations: Restricted Model 176
14.2 Responses to a Foreign Real Shock 179
14.3 Responses to a Domestic Real Shock 180
14.4 Responses to a Permanent Nominal Shock 181
14.5 Responses to a Domestic Demand Shock 186
14.6 Responses to a Domestic Policy Shock 187
14.7 Responses to a Foreign Demand Shock 188
18.1 18.9 232 55
List of Tables
3.1 Correlations with GDP 27
4.1 General Statistics 37
4.2 Contemporaneous Correlation Matrix, Full Sample 39
4.3 Contemporaneous Correlation Matrix, Pre War 40
4.4 Contemporaneous Correlation Matrix, Inter War 41
4.5 Contemporaneous Correlation Matrix, Post War 42
4.6 Standard Deviations for Sub Samples 43
4.7 Correlations for Sub Samples 44
4.8 Comparisons between Different Filters 62
5.1 Granger Causality Tests for Money on Real GDP 67
5.2 Neutrality Tests for Money on Real GDP 67
5.3 Granger Causality Tests for Money on Prices 69
5.4 Independence Tests for Real Wages and Employment 72
5.5a Correlations with Foreign Demand 75
5.5b Correlations with Swedish Exports 78
5.6 VAR Equation for Exports 19
5.7 VAR Equation for Export Prices 80
5.8 Correlations with Current Account 81
5.9 Skewness and Medians 83
6.1 Relative Importance of Business Cycle Frequencies 88
13.1 Tests for Unit Roots, 1878 1990 164
13.2 Correlation Coefficients with GDP (Ay) and the
Price Level (Ap) 166
13.3 Lag Order Determination and Residual Analysis 168
13.4 Tests for Cointegration 169
14.1 Estimated Cointegration Vectors under Nominal
Neutrality Restrictions and Residual Analysis 175
14.2 Estimated Common Trends Model for Sweden, 1876 1990 177
14.3 Ratio of k Steps Ahead Forecast Error Variance of x,
which is accounted for by Permanent and Transitory
Shocks 178
List of Tables ix
14.4 Ratio of k Steps Ahead Forecast Error Variance
of xt which is accounted for by Shocks to the
Foreign Real Trend 182
14.5 Ratio of k Steps Ahead Forecast Error Variance of x,
which is accounted for by Shocks to the Domestic Real
Trend 183
14.6 Ratio of k Steps Ahead Forecast Error Variance of xt
which is accounted for by Shocks to the Nominal Trend 184
14.7 Estimated « Coefficients 185
14.8 Ratio of k Steps Ahead Forecast Error Variance of x,
which is accounted for by the Domestic Demand Shock 189
14.9 Ratio of k Steps Ahead Forecast Error Variance of x,
which is accounted for by the Domestic Policy Shock 190
14.10 Ratio of k Steps Ahead Forecast Error Variance of x,
which is accounted for by the Foreign Demand Shock 191
|
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| indexdate | 2024-07-09T17:44:14Z |
| institution | BVB |
| isbn | 019828859X |
| language | German |
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| physical | IX, 273 S. graph. Darst. |
| publishDate | 1994 |
| publishDateSearch | 1994 |
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| publisher | Clarendon Press |
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| series2 | FIEF studies in labour markets and economic policy |
| spelling | Measuring and interpreting business cycles ed. by Villy Bergström ... Oxford [u.a.] Clarendon Press 1994 IX, 273 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier FIEF studies in labour markets and economic policy Geschichte 1861-1990 gnd rswk-swf Konjunkturteori Konjunkturväxlingar - Sverige - 1861-1988 sao Konjunkturzyklus (DE-588)4032134-4 gnd rswk-swf Schweden (DE-588)4077258-5 gnd rswk-swf Konjunkturzyklus (DE-588)4032134-4 s Schweden (DE-588)4077258-5 g DE-604 Geschichte 1861-1990 z Bergström, Villy edt HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006610655&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Measuring and interpreting business cycles Konjunkturteori Konjunkturväxlingar - Sverige - 1861-1988 sao Konjunkturzyklus (DE-588)4032134-4 gnd |
| subject_GND | (DE-588)4032134-4 (DE-588)4077258-5 |
| title | Measuring and interpreting business cycles |
| title_auth | Measuring and interpreting business cycles |
| title_exact_search | Measuring and interpreting business cycles |
| title_full | Measuring and interpreting business cycles ed. by Villy Bergström ... |
| title_fullStr | Measuring and interpreting business cycles ed. by Villy Bergström ... |
| title_full_unstemmed | Measuring and interpreting business cycles ed. by Villy Bergström ... |
| title_short | Measuring and interpreting business cycles |
| title_sort | measuring and interpreting business cycles |
| topic | Konjunkturteori Konjunkturväxlingar - Sverige - 1861-1988 sao Konjunkturzyklus (DE-588)4032134-4 gnd |
| topic_facet | Konjunkturteori Konjunkturväxlingar - Sverige - 1861-1988 Konjunkturzyklus Schweden |
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