| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11647 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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