The Role of Oscillatory Modes in U.S. Business Cycles

Andreas Groth, Michael Ghil, Stephane Hallegatte and Patrice Dumas

No 127421, Economy and Society from Fondazione Eni Enrico Mattei (FEEM)

Abstract: We apply the advanced time-and-frequency-domain method of singular spectrum analysis to study business cycle dynamics in a set of nine U.S. macroeconomic indicators. This method provides a robust way to identify and reconstruct shared oscillations, whether intermittent or modulated. We address the problem of spurious cycles generated by the use of detrending filters and present a Monte Carlo test to extract significant oscillations. Finally, we demonstrate that the behavior of the U.S. economy changes significantly between episodes of growth and recession; these variations cannot be generated by random shocks alone, in the absence of endogenous variability.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 26
Date: 2012-05
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https://ageconsearch.umn.edu/record/127421/files/NDL2012-026.pdf (application/pdf)

Related works:
Journal Article: The role of oscillatory modes in US business cycles (2015)
Working Paper: The role of oscillatory modes in US business cycles (2015)
Working Paper: The Role of Oscillatory Modes in U.S. Business Cycles (2012)
Working Paper: The Role of Oscillatory Modes in U.S. Business Cycles (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:feemso:127421

DOI: 10.22004/ag.econ.127421

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