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Empirical results on the size distribution of business cycle phases

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Author Info

  • Di Guilmi, Corrado
  • Gaffeo, Edoardo
  • Gallegati, Mauro

Abstract

We 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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File URL: http://www.sciencedirect.com/science/article/pii/S0378437103009415
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Bibliographic Info

Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 333 (2004)
Issue (Month): C ()
Pages: 325-334

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Handle: RePEc:eee:phsmap:v:333:y:2004:i:c:p:325-334

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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

Related research

Keywords: Business cycles; Weibull distribution; Predictability;

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Cited by:
  1. 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.
  2. 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.
  3. 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.
  4. Neveu, Andre R., 2013. "Fiscal policy and business cycle characteristics in a heterogeneous agent macro model," Journal of Economic Behavior & Organization, Elsevier, vol. 92(C), pages 224-240.

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