Dissecting the cycle: a methodological investigation
Date
2002
Authors
Hardin, D
Pagan, Adrian
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Abstract
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 non-linear effects. We dissect several models and find little evidence that certain non-linear effects are important to the nature of business cycles.
Description
Keywords
Keywords: Business cycle assymetries; Business cycle dating algorithm; Business cycles; Duration dependence; Markov switching; Turning points
Citation
Collections
Source
Journal of Monetary Economics
Type
Journal article
Book Title
Entity type
Access Statement
License Rights
Restricted until
2037-12-31
Downloads
File
Description