Economics at your fingertips  

The Shifts in Lead-Lag Properties of the US Business Cycle

Joshua Brault () and Hashmat Khan ()

No 18-03, Carleton Economic Papers from Carleton University, Department of Economics

Abstract: We document shifts in the lead-lag properties of the US business cycle since the mid- 1980s. Specifically, (i) the well-known inverted-leading-indicator-property of real interest rates has completely vanished; (ii) labour productivity switched from positively leading to negatively lagging output and labour inputs over the cycle; and (iii) the unemployment rate shifted from lagging productivity negatively to leading positively. Many contemporary business cycle models produce counterfactual cross-correlations revealing that popular frictions and shocks provide an incomplete account of business cycle comovement. Determining the underlying sources of these shifts in the lead-lag properties is therefore a promising direction for future research.

Keywords: Business Cycles; Cross-Correlations; DSGE Models; Interest Rates; Productivity; Hours; Employment; Unemployment (search for similar items in EconPapers)
JEL-codes: E24 E32 E43 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2018-02-12, Revised 2019-03-01
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Published: Carleton Economic Papers

Downloads: (external link)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Carleton Economic Papers from Carleton University, Department of Economics C870 Loeb Building, 1125 Colonel By Drive, Ottawa Ontario, K1S 5B6 Canada.
Bibliographic data for series maintained by Sabrina Robineau ().

Page updated 2019-11-18
Handle: RePEc:car:carecp:18-03