The role of oscillatory modes in US business cycles

Andreas Groth (), M. Ghil, Stephane Hallegatte and Patrice Dumas ()
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M. Ghil: IGPP - Institute of Geophysics and Planetary Physics [Los Angeles] - UCLA - University of California [Los Angeles] - UC - University of California, AOS - Department of Atmospheric and Oceanic Sciences [Los Angeles] - UCLA - University of California [Los Angeles] - UC - University of California, LMD - Laboratoire de Météorologie Dynamique (UMR 8539) - UPMC - Université Pierre et Marie Curie - Paris 6 - INSU - CNRS - Institut national des sciences de l'Univers - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - Département des Géosciences - ENS-PSL - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres
Patrice Dumas: CIRED - centre international de recherche sur l'environnement et le développement - Cirad - Centre de Coopération Internationale en Recherche Agronomique pour le Développement - EHESS - École des hautes études en sciences sociales - AgroParisTech - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique

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Abstract: We apply multivariate singular spectrum analysis to the study of US business cycle dynamics. This method provides a robust way to identify and reconstruct oscillations, whether intermittent or modulated. We show such oscillations to be associated with comovements across the entire economy. The problem of spurious cycles generated by the use of detrending filters is addressed and we present a Monte Carlo test to extract significant oscillations. The behavior of the US economy is shown to change significantly from one phase of the business cycle to another: the recession phase is dominated by a five-year mode, while the expansion phase exhibits more complex dynamics, with higher-frequency modes coming into play. We show that the variations so identified cannot be generated by random shocks alone, as assumed in "real" business-cycle models, and that endogenous, deterministically generated variability has to be involved. © OECD 2015.

Keywords: Advanced spectral methods; Comovements; Frequency domain; Monte Carlo testing; Time domain; JEL classification: C15; C60; E32 (search for similar items in EconPapers)
Date: 2015
Note: View the original document on HAL open archive server: https://enpc.hal.science/hal-01239779v1
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Citations: View citations in EconPapers (8)

Published in OECD Journal: Journal of Business Cycle Measurement and Analysis, 2015, 2015 (1), pp.63-81. ⟨10.1787/jbcma-2015-5jrs0lv715wl⟩

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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 U.S. Business Cycles (2012)
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:hal:journl:hal-01239779

DOI: 10.1787/jbcma-2015-5jrs0lv715wl

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