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Cyclical Properties of a Real Business Cycle Model

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  • Soderlind, Paul

Abstract

This paper tests the well-known real business cycle model of Kydland and Prescott (1988), using spectral methods for linear filters. Model spectra, coherencies, phase shifts, and correlations are tested against U.S. post-war data using both asymptotic and small-sample distributions. Compared with the model, the data have shorter business cycles, smaller co-movements of different macro variables, and less of a leading role for output. Copyright 1994 by John Wiley & Sons, Ltd.

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  • Soderlind, Paul, 1994. "Cyclical Properties of a Real Business Cycle Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(S), pages 113-122, Suppl. De.
    • Handle: RePEc:jae:japmet:v:9:y:1994:i:s:p:s113-22
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    Cited by:

    1. Uhlig, H.F.H.V.S. & Ravn, M., 1997. "On Adjusting the H-P Filter for the Frequency of Observations," Discussion Paper 1997-50, Tilburg University, Center for Economic Research.
    2. Frank Schorfheide, 2000. "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 645-670.
    3. Fabio Canova & Eva Ortega, 1996. "Testing calibrated general equilibrium models," Economics Working Papers 166, Department of Economics and Business, Universitat Pompeu Fabra.
    4. Gregory, Allan W. & Smith, Gregor W., 1996. "Measuring business cycles with business-cycle models," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 1007-1025.
    5. King, Robert G & Watson, Mark W, 1996. "Money, Prices, Interest Rates and the Business Cycle," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 35-53, February.
    6. Harding, Don, 2002. "The Australian Business Cycle: A New View," MPRA Paper 3698, University Library of Munich, Germany.
    7. Patrick Minford & Konstantinos Theodoridis & David Meenagh, 2009. "Testing a Model of the UK by the Method of Indirect Inference," Open Economies Review, Springer, vol. 20(2), pages 265-291, April.
    8. Paccagnini, Alessia, 2010. "DSGE Model Validation in a Bayesian Framework: an Assessment," MPRA Paper 24509, University Library of Munich, Germany.
    9. Sussmuth, Bernd, 2003. "Modeling the synchronization of sectoral investment cycles on the base of informational externalities," Structural Change and Economic Dynamics, Elsevier, vol. 14(1), pages 35-54, March.
    10. Zimmermann, Tobias, 2007. "Reale Konjunkturzyklen, Effizienzlöhne und die Rolle von Ölpreisschocks: Eine theoretische und empirische Analyse für Deutschland," RWI Schriften, RWI - Leibniz-Institut für Wirtschaftsforschung, volume 81, number 81.

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