Dissecting the cycle: a methodological investigation

• 成果类型: Article
• 署名作者: Harding, D; Pagan, A
• 署名单位: University of Melbourne; Australian National University; University of Oxford
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(01)00108-8
• 发表日期: 2002
• 页码: 365-381
• 关键词: business cycles; turning points; business cycle dating algorithm; business cycle asymmetries; Markov switching; duration dependence

摘要

Following Burns and Mitchell we define the cycle as a pattern in the level of aggregate economic activity. An algorithm to locate turning points is developed, as is a new measure of pro-cyclicality. A link between turning points and the moments of the series is established thereby providing the statistical foundation that Burns and Mitchell's work lacked. Using these tools we are able to dissect cycles in terms of the contributions made by trend growth, volatility, serial correlation and non-linear effects. We dissect several models and find little evidence that certain non-linear effects are important to the nature of business cycles. (C) 2002 Elsevier Science B.V. All rights reserved.