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dc.contributor.authorRitschl, Albrechten
dc.contributor.authorSarferaz, Samaden
dc.contributor.authorUebele, Martinen
dc.date.accessioned2009-01-20-
dc.date.accessioned2009-07-23T15:15:07Z-
dc.date.available2009-07-23T15:15:07Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2008,066en
dc.subject.jelN11en
dc.subject.jelN12en
dc.subject.jelC43en
dc.subject.jelE32en
dc.subject.ddc330en
dc.subject.keywordU.S. business cycleen
dc.subject.keywordvolatilityen
dc.subject.keyworddynamic factor analysisen
dc.subject.stwKonjunkturen
dc.subject.stwVolatilitäten
dc.subject.stwDynamisches Modellen
dc.subject.stwFaktorenanalyseen
dc.subject.stwWirtschaftsgeschichteen
dc.subject.stwUSAen
dc.titleThe U.S. business cycle, 1867-1995: dynamic factor analysis vs. reconstructed national accounts-
dc.type|aWorking Paperen
dc.identifier.ppn590225162en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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