The stylised facts of Australia's business cycle

George B. Tawadros

Economic Modelling, 2011, vol. 28, issue 1, 549-556

Abstract: This paper reassesses the ‘stylised facts’ of Australia's contemporary business cycle, by calculating select moments of the cyclical components in quarterly postwar macroeconomic data. In particular, the robustness of the cross-correlation sample moments to the detrending procedure are considered, using both the Hodrick-Prescott (1980) detrending procedure and the unobserved components model developed by Harvey (1985, 1989). The results presented show that under both detrending methods, the anticipated cross-correlation between output and the important real business cycle variables are supportive of the basic real business cycle model for Australia, with one or two exceptions, the most important of which is the behaviour of the real interest rate.

Keywords: Real business cycles; Detrending methods; Structural time series modelling; Hodrick-Prescott filter (search for similar items in EconPapers)
JEL-codes: C22 E24 E32 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:28:y:2011:i:1:p:549-556

DOI: 10.1016/j.econmod.2010.06.017

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