Industrial production over the business cycle 1919–2022: R/S and wavelet hurst analysis of multifractality and Austrian business cycle theory

Robert F. Mulligan ()
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Robert F. Mulligan: American Institute for Economic Research

The Review of Austrian Economics, 2025, vol. 38, issue 3, No 4, 287-302

Abstract: Abstract The U.S. index of industrial production is examined for multifractal long memory over business cycle expansions and recessions from 1919 to 2022. Hurst exponents are computed with wavelets for most expansion periods and the longest-lasting recessions. Rescaled range (R/S) analysis estimates Hurst exponents over the whole period, for all expansion months, and for all recession months. Standard errors enable formal hypothesis tests to examine whether industrial production and general economic output are predominantly driven by organic changes in supply and demand and the random entrepreneurial innovations responding to them (antipersistent long memory) or by unsustainable Cantillon effects of systematic monetary expansion (persistent long memory). Hurst analysis supports the Austrian model of the business cycle and indicates that the multifractal character of industrial production varies systematically during recessions and expansions.

Keywords: Long memory; Fractal analysis; Hurst exponent; Austrian business cycle model; Production structure; Rescaled range; Wavelet; Systemic risk; Market dynamics; Computational social science; Cultural/political complexity; Interdisciplinary applications (search for similar items in EconPapers)
JEL-codes: B53 C22 C43 E31 E32 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s11138-024-00648-0

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