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The U.S. Business Cycle, 1867-1995: A Dynamic Factor Approach

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  • Ritschl, Albrecht
  • Sarferaz, Samad
  • Uebele, Martin

Abstract

This paper reexamines U.S. business cycle volatility since 1867. We employ dynamic factor analysis as an alternative to reconstructed national accounts. We find a remarkable volatility increase across World War I, which is reversed after World War II. While we can generate evidence of postwar moderation relative to pre-1914, this evidence is not robust to structural change, implemented by time-varying factor loadings. However, we find moderation in the nominal series. Moreover, we reproduce the standard moderation since the 1980s. Our estimates confirm the NIPA data also for the 1930s but support alternative estimates of Kuznets (1952) for World War II.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 7069.

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Date of creation: Dec 2008
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Handle: RePEc:cpr:ceprdp:7069

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Keywords: dynamic factor analysis; U.S. business cycle; volatility;

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Cited by:
  1. Albrecht Ritschl & Samad Sarferaz, 2010. "Crisis? What Crisis? Currency vs. Banking in the Financial Crisis of 1931," SFB 649 Discussion Papers SFB649DP2010-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Artis, Michael J & Chouliarakis, George & Harischandra, PKG, 2011. "Business Cycle Synchronization Since 1880," CEPR Discussion Papers 8347, C.E.P.R. Discussion Papers.

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