The Role of Oscillatory Modes in U.S. Business Cycles

Citation:

Groth, Andreas, Michael Ghil, Stéphane Hallegatte, and Patrice Dumas. 2012. “The Role of Oscillatory Modes in U.S. Business Cycles.” Fondazione Eni Enrico Mattei (FEEM) 26. Fondazione Eni Enrico Mattei (FEEM): 1.
PDF557 KB

Abstract:

We apply the advanced time-and-frequency-domain method of singular spectrum analysis to study business cycle dynamics in a set of nine U.S. macroeconomic indicators. This method provides a robust way to identify and reconstruct shared oscillations, whether intermittent or modulated. We address the problem of spurious cycles generated by the use of detrending filters and present a Monte Carlo test to extract significant oscillations. Finally, we demonstrate that the behavior of the U.S. economy changes significantly between episodes of growth and recession; these variations cannot be generated by random shocks alone, in the absence of endogenous variability.

Publisher's Version

Last updated on 07/29/2016