Postwar U.S. Business Cycles: An Empirical Investigation
TLDR
In this article, a procedure for representing a times series as the sum of a smoothly varying trend component and a cyclical component is proposed, and the nature of the comovements of the cyclical components of a variety of macroeconomic time series is documented.Abstract:
A study documents some features of aggregate economic fluctuations sometimes referred to as business cycles. The investigation uses quarterly data from the postwar US economy. The fluctuations studied are those that are too rapid to be accounted for by slowly changing demographic and technological factors and changes in the stocks of capital that produce secular growth in output per capita. The study proposes a procedure for representing a times series as the sum of a smoothly varying trend component and a cyclical component. The nature of the comovements of the cyclical components of a variety of macroeconomic time series is documented. It is found that these comovements are very different than the corresponding comovements of the slowly varying trend components.read more
Citations
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Book ChapterDOI
Time Series Analysis
TL;DR: This paper provides a concise overview of time series analysis in the time and frequency domains with lots of references for further reading.
Journal ArticleDOI
On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations
Morten O. Ravn,Harald Uhlig +1 more
TL;DR: In this paper, the Hodrick-Prescott filter parameter was adjusted by multiplying it with the fourth power of the observation frequency ratios, which yields an HP parameter value of 6.25.
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The Model Confidence Set
TL;DR: The paper revisits the inflation forecasting problem posed by Stock and Watson (1999), and compute the model confidence set (MCS) for their set of inflation forecasts, and compares a number of Taylor rule regressions to determine the MCS of the best in terms of in-sample likelihood criteria.
Posted Content
Forecasting Output and Inflation: The Role of Asset Prices
TL;DR: The authors examined the predictive performance of asset prices for inflation and real output growth in seven OECD countries for a span of up to 41 years (1959 1999) and concluded that good forecasting performance by an indicator in one period seems to be unrelated to whether it is a useful predictor in a later period.
ReportDOI
Resuscitating Real Business Cycles
TL;DR: In this paper, the authors show that large technology shocks are needed to produce realistic business cycles, while Solow residuals are sufficiently volatile, these imply frequent technological regress, suggesting the imminent demise of real business cycles.
References
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Book
General Theory of Employment, Interest and Money
TL;DR: In this article, a general theory of the rate of interest was proposed, and the subjective and objective factors of the propensity to consume and the multiplier were considered, as well as the psychological and business incentives to invest.
Journal ArticleDOI
The General Theory of Employment, Interest and Money.
Journal ArticleDOI
Macroeconomics and reality
TL;DR: In this article, the authors argue that the style in which their builders construct claims for a connection between these models and reality is inappropriate, to the point at which claims for identification in these models cannot be taken seriously.
Journal ArticleDOI
Trends and random walks in macroeconomic time series: Further evidence from a new approach
TL;DR: In this article, the authors present a summary of recent work on a new methodology to test for the presence of a unit root in univariate time series models, which is quite general.
Posted Content
Business Cycle Modeling Without Pretending to Have Too Much a Priori Economic Theory
TL;DR: In this article, an observable index model from Sargent & Sims (1977) is used to estimate the business cycle without pretending to have too much a priori economic theory.
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