Dissecting the cycle: a methodological investigation

dc.contributor.authorHardin, D
dc.contributor.authorPagan, Adrian
dc.date.accessioned2015-12-13T22:25:45Z
dc.date.issued2002
dc.date.updated2015-12-11T08:18:10Z
dc.description.abstractFollowing 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.
dc.identifier.issn0304-3932
dc.identifier.urihttp://hdl.handle.net/1885/73400
dc.publisherElsevier
dc.sourceJournal of Monetary Economics
dc.subjectKeywords: Business cycle assymetries; Business cycle dating algorithm; Business cycles; Duration dependence; Markov switching; Turning points
dc.titleDissecting the cycle: a methodological investigation
dc.typeJournal article
local.bibliographicCitation.issue2
local.bibliographicCitation.lastpage381
local.bibliographicCitation.startpage365
local.contributor.affiliationHardin, D, CEA-Saclay
local.contributor.affiliationPagan, Adrian, College of Business and Economics, ANU
local.contributor.authoremailrepository.admin@anu.edu.au
local.contributor.authoruidPagan, Adrian, u7400221
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.absfor140212 - Macroeconomics (incl. Monetary and Fiscal Theory)
local.identifier.absfor140302 - Econometric and Statistical Methods
local.identifier.ariespublicationMigratedxPub3675
local.identifier.citationvolume49
local.identifier.doi10.1016/S0304-3932(01)00108-8
local.identifier.scopusID2-s2.0-0036208897
local.identifier.uidSubmittedByMigrated
local.type.statusPublished Version

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