Investigating Cycle Anatomy

Max Gillman and Adrian Pagan

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: Angeletos et al. (2020) (ACD) identify a main shock among oscillations for 10 variables, including Total Factor Productivity (TFP). A striking conclusion is that the "main" shock has little effect on TFP, from which ACD call into question models that make TFP important for cycles. We show that this result is not robust to an alternative definition of the cycle. When we identify cycles with NBER turning point methods, and allow TFP shocks to be exogenous instead of endogenous as in ACD, they have an impact that tends to be larger than the "main" shock of ACD. TFP matters.

Keywords: Activity Cycle; Oscillatory Cycle; Contribution of TFP Shocks (search for similar items in EconPapers)
JEL-codes: C51 C52 E37 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2023-02
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2023-09

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