Empirical results on the size distribution of business cycle phases
AbstractWe study the size distribution of business cycles phases, that is expansions and contractions, for a sample of 16 industrialized countries over 120 years. We find that the best-fitting distribution for both expansions and contractions is Weibull, meaning that business cycles possess a characteristic scale. Furthermore, we discuss how parameters’ estimates can be used to make inference on the probability a typical episode ends, that is on what economists call turning points.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 333 (2004)
Issue (Month): C ()
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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Business cycles; Weibull distribution; Predictability;
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- Gatti, Domenico Delli & Di Guilmi, Corrado & Gallegati, Mauro & Giulioni, Gianfranco, 2007. "Financial Fragility, Industrial Dynamics, And Business Fluctuations In An Agent-Based Model," Macroeconomic Dynamics, Cambridge University Press, vol. 11(S1), pages 62-79, November.
- Guilmi, Corrado Di & Gallegati, Mauro & Ormerod, Paul, 2004. "Scaling invariant distributions of firms’ exit in OECD countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 334(1), pages 267-273.
- D. Delli Gatti & C. Di Guilmi & M. Gallegati & E. Gaffeo & G. Giulioni & A. Palestrini, 2008. "Scaling Laws In The Macroeconomy," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 131-138.
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