Measuring Stylized Business Cycles Facts Using Stochastic Cycles

Rünstler, Gerhard (November 1997) Measuring Stylized Business Cycles Facts Using Stochastic Cycles. Former Series > Working Paper Series > IHS Economics Series 50


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Abstract: The study proposes a multivariate unobserved components model in order to examine relationships at business cycle frequencies among macroeconomic variables. The series are decomposed into non-stationary trends, stationary cycles, and an irregular component. The co-movements among the particular cycles are modelled by a latent factor, whose dynamics is governed by a stochastic cycle. As a consequence of certain symmetry properties of the latter cyclical co-movement can be parametrized in terms of relative variances, phase shifts, and coherence. The model is applied to a U.S. labour market data set.;

Item Type: IHS Series
Keywords: 'Unobserved Components Models' 'Business Cycles' 'Labour Markets'
Classification Codes (e.g. JEL): C32, E32
Date Deposited: 26 Sep 2014 10:36
Last Modified: 26 Sep 2019 16:48

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