Measuring stylized business cycles facts using stochastic cycles

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Reihe Ökonomie / Economics Series ; No. 50

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Business Fluctuations; Cycles
• Subject: unobserved components models ; business cycles ; labour ; markets

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Rünstler, Gerhard
• Event: Veröffentlichung
• (who): Institute for Advanced Studies (IHS)
• (where): Vienna
• (when): 1997

Further information

• Handle: http://hdl.handle.net/10419/70111
• Last update: 10.03.2025, 11:44 AM CET