The role of oscillatory modes in US business cycles:
We apply multivariate singular spectrum analysis to the study of US business cycle dynamics. This method provides a robust way to identify and reconstruct oscillations, whether intermittent or modulated. We show such oscillations to be associated with comovements across the entire economy. The probl...
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| Weitere Verfasser: | , , |
| Format: | Elektronisch Buchkapitel |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2015
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| Schlagworte: | |
| Online-Zugang: | DE-384 DE-473 DE-824 DE-29 DE-739 DE-355 DE-20 DE-1028 DE-1049 DE-521 DE-861 DE-898 DE-92 DE-91 DE-573 DE-19 URL des Erstveröffentlichers |
| Zusammenfassung: | We apply multivariate singular spectrum analysis to the study of US business cycle dynamics. This method provides a robust way to identify and reconstruct oscillations, whether intermittent or modulated. We show such oscillations to be associated with comovements across the entire economy. The problem of spurious cycles generated by the use of detrending filters is addressed and we present a Monte Carlo test to extract significant oscillations. The behavior of the US economy is shown to change significantly from one phase of the business cycle to another: the recession phase is dominated by a five-year mode, while the expansion phase exhibits more complex dynamics, with higher-frequency modes coming into play. We show that the variations so identified cannot be generated by random shocks alone, as assumed in "real" business-cycle models, and that endogenous, deterministically generated variability has to be involved |
| Beschreibung: | 1 Online-Ressource (19 Seiten) 21 x 28cm |
| DOI: | 10.1787/jbcma-2015-5jrs0lv715wl |
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| spelling | Groth, Andreas Verfasser aut The role of oscillatory modes in US business cycles Andreas Groth ... [et al] Paris OECD Publishing 2015 1 Online-Ressource (19 Seiten) 21 x 28cm txt rdacontent c rdamedia cr rdacarrier We apply multivariate singular spectrum analysis to the study of US business cycle dynamics. This method provides a robust way to identify and reconstruct oscillations, whether intermittent or modulated. We show such oscillations to be associated with comovements across the entire economy. The problem of spurious cycles generated by the use of detrending filters is addressed and we present a Monte Carlo test to extract significant oscillations. The behavior of the US economy is shown to change significantly from one phase of the business cycle to another: the recession phase is dominated by a five-year mode, while the expansion phase exhibits more complex dynamics, with higher-frequency modes coming into play. We show that the variations so identified cannot be generated by random shocks alone, as assumed in "real" business-cycle models, and that endogenous, deterministically generated variability has to be involved Economics Ghil, Michael ctb Hallegatte, Stéphane ctb Dumas, Patrice ctb https://doi.org/10.1787/jbcma-2015-5jrs0lv715wl Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Groth, Andreas The role of oscillatory modes in US business cycles Economics |
| title | The role of oscillatory modes in US business cycles |
| title_auth | The role of oscillatory modes in US business cycles |
| title_exact_search | The role of oscillatory modes in US business cycles |
| title_exact_search_txtP | The role of oscillatory modes in US business cycles |
| title_full | The role of oscillatory modes in US business cycles Andreas Groth ... [et al] |
| title_fullStr | The role of oscillatory modes in US business cycles Andreas Groth ... [et al] |
| title_full_unstemmed | The role of oscillatory modes in US business cycles Andreas Groth ... [et al] |
| title_short | The role of oscillatory modes in US business cycles |
| title_sort | the role of oscillatory modes in us business cycles |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/jbcma-2015-5jrs0lv715wl |
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