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Policy, Theory, and the Cycle

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  • Pagan, Adrian

Abstract

The paper sets out some simple statistical models and shows that they are capable of generating the observed characteristics of classical cycles in three countries, Australia, the United Kingdom and the United States. Both analytical and simulation work is used for this purpose. These models emphasize the fact that to generate a realistic business cycle requires some deterministic trend growth, near unit root behavior in the deterministically detrended data, and innovations of a certain magnitude. With this information we examine some popular models of the cycle, asking how they produce these features, and then explore the implications of the analysis for economic policy. Copyright 1997 by Oxford University Press.

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Bibliographic Info

Article provided by Oxford University Press in its journal Oxford Review of Economic Policy.

Volume (Year): 13 (1997)
Issue (Month): 3 (Autumn)
Pages: 19-33

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Handle: RePEc:oup:oxford:v:13:y:1997:i:3:p:19-33

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Web page: http://oxrep.oupjournals.org/

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Cited by:
  1. Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics.
  2. Michael J. Artis, 2002. "Reflections on the Optimal Currency Area (OCA) criteria in the light of EMU," Working Papers 69, Oesterreichische Nationalbank (Austrian Central Bank).
  3. Renee Fry, 2004. "International demand and liquidity shocks in a SVAR model of the Australian economy," Applied Economics, Taylor & Francis Journals, vol. 36(8), pages 849-863.
  4. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
  5. Don Harding & Adrian Pagan, 1999. "Dissecting the Cycle," Melbourne Institute Working Paper Series wp1999n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  6. Hans-Martin Krolzig & Juan Toro, 2004. "Classical and modern business cycle measurement: The European case," Spanish Economic Review, Springer, vol. 7(1), pages 1-21, January.
  7. Hans-Martin Krolzig & Michael P. Clements, 2001. "Modelling Business Cycle Features Using Switching Regime Models," Economics Series Working Papers 58, University of Oxford, Department of Economics.
  8. Norden, Simon van & Tian, Jing & Jacobs, Jan & Dungey, Mardi, 2012. "On trend-cycle decomposition and data revision," Research Report 12009-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  9. Don Harding & Adrian Pagan, 1999. "Knowing the Cycle," Melbourne Institute Working Paper Series wp1999n12, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  10. Hans-Martin Krolzig & Juan Toro, 2001. "Classical and Modern Business Cycle Measurement: The European Case," Economics Series Working Papers 60, University of Oxford, Department of Economics.
  11. Alasdair Scott, 2000. "A multivariate unobserved components model of cyclical activity," Reserve Bank of New Zealand Discussion Paper Series DP2000/04, Reserve Bank of New Zealand.
  12. repec:onb:oenbwp:y::i:69:b:1 is not listed on IDEAS

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