Cyclical Properties of a Real Business Cycle Model

Paul Söderlind

Journal of Applied Econometrics, 1994, vol. 9, issue S, S113-22

Abstract: This paper tests the well-known real business cycle model of Kydland and Prescott (1988), using spectral methods for linear filters. Model spectra, coherencies, phase shifts, and correlations are tested against U.S. post-war data using both asymptotic and small-sample distributions. Compared with the model, the data have shorter business cycles, smaller co-movements of different macro variables, and less of a leading role for output. Copyright 1994 by John Wiley & Sons, Ltd.

Date: 1994
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