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来源类型 | FEEM working papers "Note di lavoro" series |
规范类型 | 论文 |
The Role of Oscillatory Modes in U.S. Business Cycles | |
Andreas Groth; Michael Ghil; Stéphane Hallegatte; Patrice Dumas | |
发表日期 | 2012 |
出处 | Economy and Society |
出版年 | 2012 |
语种 | 英语 |
摘要 | 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. |
特色分类 | C15;C60;E32 |
关键词 | Advanced Spectral Methods Comovements Frequency Domain Monte Carlo testing Time Domain |
URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/the-role-of-oscillatory-modes-in-u-s-business-cycles/ |
来源智库 | Fondazione Eni Enrico Mattei (Italy) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/118060 |
推荐引用方式 GB/T 7714 | Andreas Groth,Michael Ghil,Stéphane Hallegatte,et al. The Role of Oscillatory Modes in U.S. Business Cycles. 2012. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
20125101514321Nota_d(71KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
20125101548154NDL201(557KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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