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Title:The role of oscillatory modes in US business cycles PDF Logo
Authors:Groth, Andreas
Ghil, Michael
Hallegatte, St├ęphane
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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