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Dissecting the cycle: a methodological investigation

Hardin, D; Pagan, Adrian

Description

Following Burns and Mitchell we define the cycle as a pattern in the level of aggregate economic activity. An algorithm to locate turning points is developed, as is a new measure of pro-cyclicality. A link between turning points and the moments of the series is established thereby providing the statistical foundation that Burns and Mitchell's work lacked. Using these tools we are able to dissect cycles in terms of the contributions made by trend growth, volatility, serial correlation and...[Show more]

CollectionsANU Research Publications
Date published: 2002
Type: Journal article
URI: http://hdl.handle.net/1885/73400
Source: Journal of Monetary Economics
DOI: 10.1016/S0304-3932(01)00108-8

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