OECD Journal: Journal of Business Cycle Measurement and Analysis

The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.


Keywords: business tendency, economic measurement, economic statistics, cyclical indicators, business surveys, business cycles, economic research, business investment, consumer surveys, economic indicators, economic cycle, cyclical fluctuations, short-term, economic analysis

The role of oscillatory modes in US business cycles

We apply multivariate singular spectrum analysis to the study of US business cycle dynamics. This method provides a robust way to identify and reconstruct oscillations, whether intermittent or modulated. We show such oscillations to be associated with comovements across the entire economy. The problem of spurious cycles generated by the use of detrending filters is addressed and we present a Monte Carlo test to extract significant oscillations. The behavior of the US economy is shown to change significantly from one phase of the business cycle to another: the recession phase is dominated by a five-year mode, while the expansion phase exhibits more complex dynamics, with higher-frequency modes coming into play. We show that the variations so identified cannot be generated by random shocks alone, as assumed in “real” business-cycle models, and that endogenous, deterministically generated variability has to be involved.


Keywords: time domain, Advanced spectral methods, frequency domain, comovements, Monte Carlo testing
JEL: C15: Mathematical and Quantitative Methods / Econometric and Statistical Methods and Methodology: General / Statistical Simulation Methods: General; E32: Macroeconomics and Monetary Economics / Prices, Business Fluctuations, and Cycles / Business Fluctuations; Cycles; C60: Mathematical and Quantitative Methods / Mathematical Methods; Programming Models; Mathematical and Simulation Modeling / Mathematical Methods; Programming Models; Mathematical and Simulation Modeling: General
This is a required field
Please enter a valid email address
Approval was a Success
Invalid data
An Error Occurred
Approval was partially successful, following selected items could not be processed due to error