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 Artikel |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2015
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| Schlagworte: | |
| Online-Zugang: | Volltext |
| 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 p.) 21 x 28cm. |
| DOI: | 10.1787/jbcma-2015-5jrs0lv715wl |
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| 520 | |a 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. | ||
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| 700 | 1 | |a Dumas, Patrice |e MitwirkendeR |4 ctb | |
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| indexdate | 2024-11-26T14:56:14Z |
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| spelling | Groth, Andreas VerfasserIn aut The role of oscillatory modes in US business cycles Andreas, Groth ... [et al] Paris OECD Publishing 2015 1 Online-Ressource (19 p.) 21 x 28cm. Text txt rdacontent Computermedien c rdamedia Online-Ressource 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 MitwirkendeR ctb Hallegatte, Stéphane MitwirkendeR ctb Dumas, Patrice MitwirkendeR ctb Enthalten in OECD Journal: Journal of Business Cycle Measurement and Analysis Vol. 2015, no. 1, p. 63-81 volume:2015 year:2015 number:1 pages:63-81 FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/jbcma-2015-5jrs0lv715wl 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_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 | 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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