The US Business Cycle, 1867-2006: A Dynamic Factor Approach

• 成果类型: Article
• 署名作者: Ritschl, Albrecht; Sarferaz, Samad; Uebele, Martin
• 署名单位: University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; Swiss Federal Institutes of Technology Domain; ETH Zurich; University of Groningen
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00530
• 发表日期: 2016-03
• 页码: 159-172
• 关键词: gross-national-product; great-moderation; UNITED-STATES; ECONOMY; shocks

摘要

We estimate a Stock/Watson index of economic activity to assess U.S. business cycle volatility since 1867. We replicate the Great Moderation of the 1980s and 1990s and find exceptionally low volatility also in the Golden Age of the 1960s. Postwar moderation relative to pre-1914 occurs under constant but not time-varying factor loadings, suggesting structural change toward more volatile sectors. For comparable series, the U.S. postwar business cycle was as volatile overall as under the Classical Gold Standard, but much less so during the Great Moderation and the Golden Age.