Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25309
Authors: 
Ritschl, Albrecht
Sarferaz, Samad
Uebele, Martin
Year of Publication: 
2008
Series/Report no.: 
SFB 649 discussion paper 2008,066
Abstract: 
This paper presents insights on U.S. business cycle volatility since 1867 de- rived from diffusion indices. We employ a Bayesian dynamic factor model to obtain aggregate and sectoral economic activity indices. We find a remarkable increase in volatility across World War I, which is reversed after World War II. While we can generate evidence of postwar moderation relative to pre-1914, this evidence is not robust to structural change, implemented by time-varying factor loadings. We do find evidence of moderation in the nominal series, however, and reproduce the standard result of moderation since the 1980s. Our estimates broadly confirm the NBER historical business cycle chronology as well the National Income and Product Accounts, except for World War II where they support alternative estimates of Kuznets (1952).
Subjects: 
U.S. business cycle
volatility
dynamic factor analysis
JEL: 
N11
N12
C43
E32
Document Type: 
Working Paper

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