Detrending and business cycle facts

• 成果类型: Article
• 署名作者: Canova, F
• 署名单位: Pompeu Fabra University; Universita di Modena e Reggio Emilia; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(98)00006-3
• 发表日期: 1998
• 页码: 475-512
• 关键词: business cycles; detrending; Robustness

摘要

This paper examines the business cycle properties of a small set of a real US macroeconomic time series using a variety of detrending methods. It is shown that both quantitatively and qualitatively 'stylized facts' of US business cycles vary widely across detrending methods and that alternative detrending filters extract different types of information from the data. Implications and suggestions for current macroeconomic practice are provided. (C) 1998 Elsevier Science B.V. All rights reserved.