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

Andreas Groth, Michael MGhil, Stephane Hallegatte and Patrice Dumas
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Andreas Groth: Geosciences Department, Ecole Normale Supérieure, Paris, France, Environmental Research & Teaching Institute, Ecole Normale Supérieure
Michael MGhil: Geosciences Department, Ecole Normale Supérieure, Paris, France, Environmental Research & Teaching Institute, Ecole Normale Supérieure, Paris, France Department of Atmospheric & Oceanic Sciences and Institute of Geophysics & Planetary Physics, University of California

No 2012.26, Working Papers from Fondazione Eni Enrico Mattei

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: Advanced Spectral Methods; Comovements; Frequency Domain; Monte Carlo testing; Time Domain (search for similar items in EconPapers)
JEL-codes: C15 C60 E32 (search for similar items in EconPapers)
Date: 2012-05
New Economics Papers: this item is included in nep-bec and nep-mac
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Citations: View citations in EconPapers (1)

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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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