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Nominal stylized facts of U. S. business cycles

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  • Apostolos Serletis
  • David Krause

Abstract

The authors investigate the basic nominal stylized facts of business cycles in the United States, using monthly data from 1960:1 to 1993:4 and the methodology suggested by Kydland and Prescott (1990). They make comparisons among simple sum and Divisia aggregates, using the Thornton and Yue (1992) series of Divisia monetary aggregates, and they investigate the robustness of the results to relevant nonstochastic stationarity-inducing transformations.

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Bibliographic Info

Article provided by Federal Reserve Bank of St. Louis in its journal Review.

Volume (Year): (1996)
Issue (Month): Jul ()
Pages: 49-54

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Handle: RePEc:fip:fedlrv:y:1996:i:jul:p:49-54:n:v.78no.5

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Keywords: Business cycles;

References

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  1. Fiorito, Riccardo & Kollintzas, Tryphon, 1994. "Stylized facts of business cycles in the G7 from a real business cycles perspective," European Economic Review, Elsevier, Elsevier, vol. 38(2), pages 235-269, February.
  2. Serletis, Apostolos & Koustas, Zisimos, 2001. "Monetary Aggregation and the Neutrality of Money," Economic Inquiry, Western Economic Association International, Western Economic Association International, vol. 39(1), pages 124-38, January.
  3. Finn E. Kydland & Edward C. Prescott, 1990. "Business cycles: real facts and a monetary myth," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Spr, pages 3-18.
  4. Edward C. Prescott, 1986. "Theory ahead of business cycle measurement," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Fall, pages 9-22.
  5. Currie, Janet & Gruber, Jonathan, 1996. "Health Insurance Eligibility, Utilization of Medical Care, and Child Health," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 111(2), pages 431-66, May.
  6. William T. Gavin & Finn E. Kydland, 1996. "Endogenous money supply and the business cycle," Working Paper 9605, Federal Reserve Bank of Cleveland.
  7. Smith, R Todd, 1992. "The Cyclical Behavior of Prices," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 24(4), pages 413-30, November.
  8. Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 5(1), pages 7-29, January.
  9. Barnett, William A & Offenbacher, Edward K & Spindt, Paul A, 1984. "The New Divisia Monetary Aggregates," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 92(6), pages 1049-85, December.
  10. Cooley, T.F. & Ohanian, L.E., 1989. "The Cyclical Behavior Of Prices," RCER Working Papers 188, University of Rochester - Center for Economic Research (RCER).
  11. Brunner, Karl & Meltzer, Allan H., 1977. "Stabilization of the domestic and international economy," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 5(1), pages 1-6, January.
  12. Belongia, Michael T, 1996. "Measurement Matters: Recent Results from Monetary Economics Reexamined," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 104(5), pages 1065-83, October.
  13. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
  14. Cogley, Timothy & Nason, James M., 1995. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 19(1-2), pages 253-278.
  15. Daniel L. Thornton & Piyu Yue, 1992. "An extended series of divisia monetary aggregates," Review, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue Nov, pages 35-52.
  16. N. Gregory Mankiw, 1989. "Real Business Cycles: A New Keynesian Perspective," NBER Working Papers 2882, National Bureau of Economic Research, Inc.
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Citations

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Cited by:
  1. Pakko, Michael R, 2000. "The Cyclical Relationship between Output and Prices: An Analysis in the Frequency Domain," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 32(3), pages 382-99, August.
  2. Korap, Levent, 2010. "A small scaled business-cycle analysis of the Turkish economy: some counter-cyclical evidence using new income series," MPRA Paper 28647, University Library of Munich, Germany.
  3. J. M. Binner & R. K. Bissoondeeal & A. W. Mullineux, 2005. "A composite leading indicator of the inflation cycle for the Euro area," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 37(11), pages 1257-1266.
  4. William A. Barnett & Yi Liu & Haiyang Xu & Mark Jensen, 1996. "The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets," Econometrics, EconWPA 9602003, EconWPA.
  5. Döpke, Jörg, 1998. "Stylized facts of Euroland's business cycle," Kiel Working Papers 887, Kiel Institute for the World Economy.
  6. C. Emre Alper, 2000. "Stylized Facts of Business Cycles, Excess Volatility and Capital Flows: Evidence from Mexico and Turkey," Working Papers, Bogazici University, Department of Economics 2000/11, Bogazici University, Department of Economics.
  7. Levent, Korap, 2009. "Türkiye ekonomisinde enflasyon ve reel milli gelir arasındaki çevrimsellik ilişkisi üzerine bir inceleme
    [An investigation upon the cyclical relationship between inflation and real income in t
    ," MPRA Paper 20266, University Library of Munich, Germany.
  8. Levent, Korap, 2007. "Structural VAR identification of the Turkish business cycles," MPRA Paper 21971, University Library of Munich, Germany.
  9. Nicholas Apergis & Alexandros Panethimitakis, 2011. "Stylised facts of Greek business cycles: new evidence from aggregate and across regimes data," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, Inderscience Enterprises Ltd, vol. 3(2), pages 147-165.
  10. Levent, Korap, 2006. "An essay upon the business cycle facts: the Turkish case," MPRA Paper 21717, University Library of Munich, Germany.
  11. Döpke, Jörg, 1998. "Leading indicators for Euroland's business cycle," Kiel Working Papers 886, Kiel Institute for the World Economy.
  12. Pacheco Jiménez, J.F., 2001. "Business cycles in small open economies: the case of Costa Rica," ISS Working Papers - General Series, International Institute of Social Studies of Erasmus University Rotterdam (ISS), The Hague 19075, International Institute of Social Studies of Erasmus University Rotterdam (ISS), The Hague.

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