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http://hdl.handle.net/10419/59711
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| Title: | | The role of oscillatory modes in US business cycles  |
| Authors: | | Groth, Andreas Ghil, Michael Hallegatte, Stéphane Dumas, Patrice |
| Issue Date: | | 2012 |
| Series/Report no.: | | Nota di lavoro, Fondazione Eni Enrico Mattei: Economy and Society 26.2012 |
| 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. |
| Subjects: | | Advanced Spectral Methods Comovements Frequency Domain Monte Carlo testing Time Domain |
| JEL: | | C15 C60 E32 |
| Document Type: | | Working Paper |
| Appears in Collections: | | FEEM Working Papers, Fondazione Eni Enrico Mattei
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