Measuring Business Cycles

What manner of organization is the National Bureau of Economic Research? How does it select research topics? Who does the work and what kind of tasks do they perform? Where do the funds come from? How does the National Bureau safeguard the scientific quality of its findings? How are the results disseminated? Visitors to the National Bureau often ask these and similar questions; perhaps the answers will be of interest to readers of the American Statistician. The National Bureau of Economic Research is a private non-profit corporation, formed, according to its charter, "to conduct, or assist in the making of exact and impartial investigations in the field of economic, social and industrial science, and to this end to cooperate with governments, universities, learned societies, and individuals." Hence it is not a government agency, nor an adjunct of a university, nor does it sell research services. The revenue from the only products it does sell, publications, barely covers the printing costs. Its funds are contributed by philanthropic foundations, by trade and professional organizations, by business concerns, trade unions, and individuals. Contributions are usually on a yearly basis, but some grants cover several years. Some of the funds are earmarked for specific studies; the balance goes to support a general program of research. The National Bureau is governed by a Board of Directors numbering about thirty, selected to represent various institutions and diverse points of view on economic problems. Over the years since the Bureau was founded in 1920 this body of men has made a significant contribution to the development of scientific inquiry in economics, both within the National Bureau and outside. Such outstanding economists as Wesley C. Mitchell, George E. Roberts, Allyn A. Young, Edwin F. Gay, Thomas S. Adams, and John R. Commons have been among its members. At the present time professors from a dozen universities are on the Board. Also, Directors from each of the following organizations are elected: American Statistical Association, American Economic Association, American Farm Economic Association, Economic History Association, American Institute of Accountants, American Management Association, Congress of Industrial Organizations, and American Federation of Labor. Finally, there is a group of Directors at Large, men from varied walks of life with an abiding interest in economic research. The Board serves an important function not only in shaping the broad lines of the research program but also in safeguarding the quality of the results. Matters of policy requiring prompt action are handled by an Executive Committee of eleven, elected by the Board from its membership. Arthur F. Burns, the Director of Research, is the member of the Committee who is directly responsible for the research program. The members of the research staff, numbering about twenty-five, direct the individual studies, and are aided in their work by upwards of forty-five research assistants. A staff of typists, bookkeepers, mimeograph operators, etc., brings the total payroll of the National Bureau to roughly a hundred persons. William J. Carson, the Executive Director, handles the Bureau's finances, accounts, and other administrative matters. Not all the employees of the National Bureau work at the main office at 1819 Broadway, New York City. DuLr Financial Research Program is housed at "Hillside," an estate about 10 miles north of Manhattan overlooking the HuLdson River. Other National BureauL investigators are to be fotund at various universities throughout the United States, since cooperative arrangements are maintained with a number of universities that permit their facultv members to engage in National Butreau studies. Government agencies, too, cooperate in similar ways. Such cooperative relationships are a vital feature of our work, and we try to foster them in many ways. The growing acceptance on the part of universities of the view that research is part of the job of a faculty member has helped to make these efforts productive. For example, for a number of years we have appointed promising young men or women holding university positions as Research Associates for one year. The objective is to enable scholars to pursue their research interests in fields in which the National Bureau also has an interest. Since 1930 twenty-six Research Associates, coming from eighteen American colleges or universities and two foreign universities, have been appointed under the plan. The work of several committees is another example of cooperation for the purpose of advancing research. Two committees, one on financial and the other on fiscal research, help to guide our studies in these areas. They are composed of experts from universities, government agencies, and private business. In 1935 the Universities-National Bureau Committee was established for the express purpose of promoting contact

The National Bureau of Economic Research

This paper offers an empirical evaluation of the output contribution of infrastructure. Drawing from a large data set on infrastructure stocks covering 88 countries and spanning the years 1960-2000, and using a panel time-series approach, the paper estimates a long-run aggregate production function relating GDP to human capital, physical capital, and a synthetic measure of infrastructure given by the first principal component of infrastructure endowments in transport, power, and telecommunications. Tests of the cointegration rank allowing it to vary across countries reveal a common rank with a single cointegrating vector, which is taken to represent the long-run production function. Estimation of its parameters is performed using the pooled mean group estimator, which allows for unrestricted short-run parameter heterogeneity across countries while imposing the (testable) restriction of long-run parameter homogeneity. The long-run elasticity of output with respect to the synthetic infrastructure index ranges between 0.07 and 0.10. The estimates are highly significant, both statistically and economically, and robust to alternative dynamic specifications and infrastructure measures. There is little evidence of long-run parameter heterogeneity across countries, whether heterogeneity is unconditional, or conditional on their level of development, population size, or infrastructure endowments.

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Is infrastructure capital productive ? a dynamic heterogeneous approach

In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships with economic content are found: (i) the spread between the long-term and the short-term nominal interest rates, (ii) the long-term real interest rate, and (iii) a long-run demand for broad money M3. There is evidence that the determinants of M3 money demand are weakly exogenous with respect to the long-run parameters. Hence, following a general-to-specific modelling approach, a parsimonious conditional error-correction model for M3 money demand is derived which can be interpreted economically. For the conditional model, long-run and short-run parameter stability is extensively tested and not rejected. Copyright © 2001 John Wiley & Sons, Ltd.

The demand for M3 in the euro area

We identify the impact of intermediate goods markets imperfections on productivity downstream. Our empirical specification is based on a model of multifactor productivity (MFP) growth in which the effects of upstream competition can vary with distance to frontier. This model is estimated on a panel of fifteen OECD countries and twenty industries over 1985 to 2007. Competitive pressures are proxied with industry product market regulation data. We find evidence that anticompetitive upstream regulations have significantly curbed MFP growth over the past fifteen years, and more strongly so for observations that are close to the productivity frontier.

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Do product market regulations in upstream sectors curb productivity growth? panel data evidence for oecd countries

The recent burst of the house price bubble in the United States and its spillover effects on real economies worldwide has rekindled the interest in the role of housing in the business cycle. In this paper, we investigate the relationships between housing cycles among the four major euro area countries (Germany, France, Italy and Spain) over the sample 1980Q1-2008Q4. Our main findings are that GDP cycles show a high degree of comovement across these four countries, reflecting trade linkages, but much weaker ones for housing market cycles, where idiosyncratic factors play a major role. House prices are even less related than quantities across countries. We also find much stronger relationships in the common monetary policy period.

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Housing Cycles in the Major Euro Area Countries

The aim of this paper is to characterize the cyclical properties of Spanish real and nominal housing related variables. Our three main results are: First, housing appears to lead the business cycle. Second, fluctuation in home prices are positively related to those of residential investment, suggesting the dominant role of demand factors over supply ones. Third, there are interesting asymmetries in cyclical fluctuations: contractions in GDP appear to be briefer than expansions.

/pdf/does-housing-really-lead-the-business-cycle-25m9hv600h.pdf

Does Housing Really Lead the Business Cycle

Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank

The main focus of this paper is to model the daily series of banknotes in circulation. The series of banknotes in circulation displays very marked seasonal patterns. To the best of our knowledge the empirical performance of two competing approaches to model seasonality in daily time series, namely the ARIMA-based approach and the Structural Time Series approach, has never been put to the test. The application presented in this paper provides valid intuition on the merits of each approach. The forecasting performance of the models is also assessed in the context of their impact on the liquidity management of the Eurosystem.  Copyright © 2008 John Wiley & Sons, Ltd.

/pdf/modelling-the-daily-banknotes-in-circulation-in-the-context-1hgn2lu0f0.pdf

The recent burst of the house price bubble in the United States and its spillover effects on real economies worldwide has rekindled the interest in the role of housing in the business cycle. In this paper, we investigate the relationships between housing cycles among the four major euro area countries (Germany, France, Italy and Spain) over the sample 1980q1 – 2008q4. Our main findings are that GDP cycles between 1.5 and 8 years show a high degree of comovement across these four countries, reflecting trade linkages. In contrast comovements in housing market cycles between 1.5 and 8 years are much weaker, idiosyncratic factors playing a major role. House prices are even less related across countries than quantities (residential investment, building permits, housing starts …). We find however much stronger relationships since 1999, i.e. in the common monetary policy period.

Alberto Cabrero

Papers

Housing Cycles in the Major Euro Area Countries

Does Housing Really Lead the Business Cycle

Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank

Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank

Housing Cycles In The Major Euro Area Countries