The U.S. Business Cycle, 1867-2006: A Dynamic Factor Approach

Albrecht Ritschl, Samad Sarferaz and Martin Uebele

The Review of Economics and Statistics, 2016, vol. 98, issue 1, 159-172

Abstract: We estimate a Stock/Watson index of economic activity to assess U.S. business cycle volatility since 1867. We replicate the Great Moderation of the 1980s and 1990s and find exceptionally low volatility also in the Golden Age of the 1960s. Postwar moderation relative to pre-1914 occurs under constant but not time-varying factor loadings, suggesting structural change toward more volatile sectors. For comparable series, the U.S. postwar business cycle was as volatile overall as under the Classical Gold Standard, but much less so during the Great Moderation and the Golden Age.

Keywords: U.S. business cycle; volatility; dynamic factor analysis; monetary policy (search for similar items in EconPapers)
JEL-codes: C43 E32 N11 N12 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (7)

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