Duration of Business Cycles

Martin Everts (martin.everts@gmail.com)

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper the Bry and Boschan (1971) procedure is modified such that it can be applied to quarterly data in order to recalculate the maximum duration of business cycles. In this way it can be shown that the maximum duration of business cycles constitutes 42 quarters in the United States of America and 49 quarters in the United Kingdom. The large difference to the maximum duration of Burns and Mitchell (1946) makes clear that caution is advisable with the application of the filters by Baxter and King (1999) and Christiano and Fitzgerald (2003). If one chooses the maximum duration too low (high), the amplitude of the medium-term business cycles is underestimated (overestimated) and the variability of the growth rate of the long-term trend is overestimated (underestimated).

Keywords: Duration; Business Cycles; Dating Turning Points; Non-Parametric Procedure; Minimum Duration; Maximum Duration; Band-Pass Filter (search for similar items in EconPapers)
JEL-codes: E32 E37 (search for similar items in EconPapers)
Date: 2006-04
New Economics Papers: this item is included in nep-bec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:1219

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