G2TT
来源类型Discussion paper
规范类型论文
来源IDDP11647
DP11647 Putting the Cycle Back into Business Cycle Analysis
Franck Portier; Dana Galizia; Paul Beaudry
发表日期2016-11-18
出版年2016
语种英语
摘要This paper begins by re-examining the spectral properties of several cyclically sensitive variables such as hours worked, unemployment and capacity utilization. For each of these series, we document the presence of an important peak in the spectral density at a periodicity of approximately 36-40 quarters. We take this pattern as suggestive of intriguing but little-studied cyclical phenomena at the long end of the business cycle, and we ask how best to explain it. In particular, we explore whether such patterns may reflect slow-moving limit cycle forces, wherein booms sow the seeds of the subsequent busts. To this end, we present a general class of models, featuring local complementarities, that can give rise to unique-equilibrium behavior characterized by stochastic limit cycles. We then use the framework to extend a New Keynesian-type model in a manner aimed at capturing the notion of an accumulation-liquidation cycle. We estimate the model by indirect inference and find that the cyclical properties identified in the data can be well explained by stochastic limit cycles forces, where the exogenous disturbances to the system are very short lived. This contrasts with results from most other macroeconomic models, which typically require very persistent shocks in order to explain macroeconomic fluctuations.
主题Monetary Economics and Fluctuations
关键词Business cycles Limit cycles
URLhttps://cepr.org/publications/dp11647
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/540461
推荐引用方式
GB/T 7714
Franck Portier,Dana Galizia,Paul Beaudry. DP11647 Putting the Cycle Back into Business Cycle Analysis. 2016.
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