10.22004/AG.ECON.127421
Groth, Andreas
Andreas
Groth
Ghil, Michael
Michael
Ghil
Hallegatte, Stephane
Stephane
Hallegatte
Dumas, Patrice
Patrice
Dumas
Groth, Andreas
Andreas
Groth
Ghil, Michael
Michael
Ghil
Hallegatte, Stephane
Stephane
Hallegatte
Dumas, Patrice
Patrice
Dumas
The Role of Oscillatory Modes in U.S. Business Cycles
Unknown
2012
Text
Financial Economics
Advanced Spectral Methods
Comovements
Frequency Domain
Monte Carlo testing
Time Domain
2012
en
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.