Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70111
Authors: 
Rünstler, Gerhard
Year of Publication: 
1997
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 50
Abstract: 
The study proposes a multivariate unobserved components model in order to examine relationships at business cycle frequencies among macroeconomic variables. The series are decomposed into non-stationary trends, stationary cycles, and an irregular component. The co-movements among the particular cycles are modelled by a latent factor, whose dynamics is governed by a stochastic cycle. As a consequence of certain symmetry properties of the latter cyclical co-movement can be parametrized in terms of relative variances, phase shifts, and coherence. The model is applied to a U.S. labour market data set.
Subjects: 
unobserved components models
business cycles
labour
markets
JEL: 
C32
E32
Document Type: 
Working Paper

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