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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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Bibliographic Info

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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References

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  1. Luca Gambetti & Jordi Gal�, 2009. "On the Sources of the Great Moderation," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(1), pages 26-57, January.
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  3. Sarferaz, Samad & Uebele, Martin, 2009. "Tracking down the business cycle: A dynamic factor model for Germany 1820-1913," Explorations in Economic History, Elsevier, vol. 46(3), pages 368-387, July.
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Cited by:
  1. Albrecht Ritschl & Samad Salferaz, 2010. "Crisis?: What crisis?: currency vs. banking in the financial crisis of 1931," LSE Research Online Documents on Economics 28726, London School of Economics and Political Science, LSE Library.
  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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