Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25309
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dc.contributor.authorRitschl, Albrechten_US
dc.contributor.authorSarferaz, Samaden_US
dc.contributor.authorUebele, Martinen_US
dc.date.accessioned2009-01-20en_US
dc.date.accessioned2009-07-23T15:15:07Z-
dc.date.available2009-07-23T15:15:07Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/25309-
dc.description.abstractThis 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).en_US
dc.language.isoengen_US
dc.publisher|aSFB 649, Economic Risk|cBerlinen_US
dc.relation.ispartofseries|aSFB 649 discussion paper|x2008,066en_US
dc.subject.jelN11en_US
dc.subject.jelN12en_US
dc.subject.jelC43en_US
dc.subject.jelE32en_US
dc.subject.ddc330en_US
dc.subject.keywordU.S. business cycleen_US
dc.subject.keywordvolatilityen_US
dc.subject.keyworddynamic factor analysisen_US
dc.subject.stwKonjunkturen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwDynamisches Modellen_US
dc.subject.stwFaktorenanalyseen_US
dc.subject.stwWirtschaftsgeschichteen_US
dc.subject.stwUSAen_US
dc.titleThe U.S. business cycle, 1867-1995: dynamic factor analysis vs. reconstructed national accountsen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn590225162en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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