Measuring Stylized Business Cycles Facts Using Stochastic Cycles

Gerhard Ruenstler
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Gerhard Ruenstler: Institute for Advanced Studies, Vienna
Authors registered in the RePEc Author Service: Gerhard Rünstler ()

No 50, Economics Series from Institute for Advanced Studies

Abstract: The study proposes a multivariate unobserved components model in order to examine relationships at business cycle frequencies among macroeconomic variables. The series are decomposed into non-stationary trends, stationary cycles, and an irregular component. The co-movements among the particular cycles are modelled by a latent factor, whose dynamics is governed by a stochastic cycle. As a consequence of certain symmetry properties of the latter cyclical co-movement can be parametrized in terms of relative variances, phase shifts, and coherence. The model is applied to a U.S. labour market data set.

Keywords: Unobserved Components Models; Business Cycles; Labour; Markets (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Pages: 19 pages
Date: 1997-11
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https://irihs.ihs.ac.at/id/eprint/1028 First version, 1997 (application/pdf)

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