Detrending and Business Cycle Facts

Fabio Canova

No 782, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: This paper examines the business cycle properties of a small set of real US macroeconomic time series using a variety of detrending methods. It is shown: (i) that both quantitatively and qualitatively `stylized facts' of US business cycles vary widely across detrending methods; (ii) that alternative detrending filters extract different types of information from the original series; and (iii) the qualitative response of consumption, investment, hours and productivity to a typical shock in GNP have, depending on the method used, two types of patterns -- one consistent with a Real Business Cycle model and one consistent with a Neo-Keynesian labour-hoarding story. Implications and suggestions for current macroeconomic practice are also presented.

Keywords: Business Cycles; Detrending; Filters; Labour Hoarding; Stylized Facts; Technology Shocks (search for similar items in EconPapers)
JEL-codes: B41 E32 (search for similar items in EconPapers)
Date: 1993-06
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Citations: View citations in EconPapers (28)

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Journal Article: Detrending and business cycle facts (1998)
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