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

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.


Issue Date:
2012-05
Publication Type:
Working or Discussion Paper
PURL Identifier:
http://purl.umn.edu/127421
Total Pages:
26
JEL Codes:
C15; C60; E32
Series Statement:
ES
26.2012




 Record created 2017-04-01, last modified 2017-04-26

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