G2TT
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
URLhttps://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.
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