Arbeitspapier
The role of oscillatory modes in US business cycles
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Nota di Lavoro ; No. 26.2012
- Klassifikation
-
Wirtschaft
Statistical Simulation Methods: General
Mathematical Methods; Programming Models; Mathematical and Simulation Modeling: General
Business Fluctuations; Cycles
- Thema
-
Advanced Spectral Methods
Comovements
Frequency Domain
Monte Carlo testing
Time Domain
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Groth, Andreas
Ghil, Michael
Hallegatte, Stéphane
Dumas, Patrice
- Ereignis
-
Veröffentlichung
- (wer)
-
Fondazione Eni Enrico Mattei (FEEM)
- (wo)
-
Milano
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Groth, Andreas
- Ghil, Michael
- Hallegatte, Stéphane
- Dumas, Patrice
- Fondazione Eni Enrico Mattei (FEEM)
Entstanden
- 2012
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