Business Cycle Fluctuations in U.S. Macroeconomic Time Series

James H. Stock and Mark Watson

No 6528, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper examines the empirical relationship in the postwar United States between the aggregate business cycle and various aspects of the macroeconomy, such as production, interest rates, prices, productivity, sectoral employment, investment, income, and consumption. This is done by examining the strength of the relationship between the aggregate cycle and the cyclical components of individual time series, whether individual series lead or lag the cycle, and whether individual series are useful in predicting aggregate fluctuations. The paper also reviews some additional empirical regularities in the U.S. economy, including the Phillips curve and some long-run relationships, in particular long-run money demand, long-run properties of interest rates and the yield curve, and the long-run properties of the shares in output of consumption, investment and government spending.

JEL-codes: E30 (search for similar items in EconPapers)
Date: 1998-04
Note: EFG ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (142)

Published as "Evidence on Structural Instability in Macroeconomic Time Series Relations", JBES, Vol. 14, no. 1 (January 1996): 11-30.
Published as Stock, James H. & Watson, Mark W., 1999. "Business cycle fluctuations in us macroeconomic time series," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 1, pages 3-64 Elsevier.

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