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Modelling phase shifts among stochastic cycles

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  • Gerhard Runstler

Abstract

Stochastic cycles are often incorporated in structural time series models to identify the cyclical components in macroeconomic time series. This paper proposes an extension of the multivariate stochastic cycle to account for phase shifts between individual cyclical components. The properties of the stochastic cycle allow phase shifts to be modelled in an entirely symmetrical way. As a result, cross correlations between cyclical components can be expressed in terms of phase shifts and phase-adjusted associations. An application demonstrates the role of phase shifts in the business cycle relationships among output, total hours worked and the real wage in the United States. Copyright Royal Economic Socciety 2004

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Bibliographic Info

Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 7 (2004)
Issue (Month): 1 (06)
Pages: 232-248

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Handle: RePEc:ect:emjrnl:v:7:y:2004:i:1:p:232-248

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Cited by:
  1. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers 08-069/4, Tinbergen Institute.
  2. Tatiana Cesaroni & Carmine Pappalardo, 2008. "Long run and short run dynamics in italian manufacturing labour productivity," Economics Bulletin, AccessEcon, vol. 3(15), pages 1-11.
  3. João Valle e Azevedo & Ana Pereira, 2008. "Approximating and Forecasting Macroeconomic Signals in Real-Time," Working Papers w200819, Banco de Portugal, Economics and Research Department.
  4. Siem Jan Koopman & Joao Valle e Azevedo, 2003. "Measuring Synchronisation and Convergence of Business Cycles," Tinbergen Institute Discussion Papers 03-052/4, Tinbergen Institute.
  5. Chen, Xiaoshan & Kontonikas, Alexandros & Montagnoli, Alberto, 2012. "Asset prices, credit and the business cycle," Economics Letters, Elsevier, vol. 117(3), pages 857-861.
  6. Matthieu Lemoine, 2005. "A model of the stochastic convergence between business cycles," Documents de Travail de l'OFCE 2005-05, Observatoire Francais des Conjonctures Economiques (OFCE).
  7. Siem Jan Koopman & Joao Valle e Azevedo, 2003. "Measuring Synchronisation and Convergence of Business Cycles," Tinbergen Institute Discussion Papers 03-052/4, Tinbergen Institute.
  8. Ndiaye, Cheikh Tidiane & Bates, Samuel, 2014. "Economic Growth from a Structural Unobserved Component Modeling: The Case of Senegal," Economics Papers from University Paris Dauphine 123456789/13298, Paris Dauphine University.
  9. Valle e Azevedo, João, 2008. "A Multivariate Band-Pass Filter," MPRA Paper 6555, University Library of Munich, Germany.
  10. João Valle e Azevedo & Siem Jan Koopman & António Rua, 2003. "Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area," Working Papers w200316, Banco de Portugal, Economics and Research Department.
  11. Claudio Borio & Piti Disyatat & Mikael Juselius, 2014. "A parsimonious approach to incorporating economic information in measures of potential output," BIS Working Papers 442, Bank for International Settlements.
  12. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers 08-069/4, Tinbergen Institute.
  13. Philippe Moës, 2012. "Multivariate models with dual cycles: implications for output gap and potential growth measurement," Empirical Economics, Springer, vol. 42(3), pages 791-818, June.
  14. Marczak, Martyna & Gómez, Victor, 2013. "Monthly US business cycle indicators: A new multivariate approach based on a band-pass filter," FZID Discussion Papers 64-2013, University of Hohenheim, Center for Research on Innovation and Services (FZID).
  15. Joao Valle e Azevedo & Siem Jan Koopman & Antonio Rua, 2003. "Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area," Tinbergen Institute Discussion Papers 03-069/4, Tinbergen Institute.
  16. Matthieu Lemoine, 2006. "Annex A5 : A model of the stochastic convergence between euro area business cycles," Sciences Po publications info:hdl:2441/1461, Sciences Po.
  17. Fabio Busetti & Michele Caivano, 2013. "The trend-cycle decomposition of output and the Phillips curve: Bayesian estimates for Italy," Temi di discussione (Economic working papers) 941, Bank of Italy, Economic Research and International Relations Area.

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