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来源类型Working Paper
规范类型报告
DOI10.3386/w22825
来源IDWorking Paper 22825
Putting the Cycle Back into Business Cycle Analysis
Paul Beaudry; Dana Galizia; Franck Portier
发表日期2016-11-14
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Macroeconomics ; Macroeconomic Models
URLhttps://www.nber.org/papers/w22825
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/580499
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GB/T 7714
Paul Beaudry,Dana Galizia,Franck Portier. Putting the Cycle Back into Business Cycle Analysis. 2016.
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