The U.S. business cycle, 1867-1995: dynamic factor analysis vs. reconstructed national accounts
AbstractThis paper presents insights on U.S. business cycle volatility since 1867 derived from diffusion indices. We employ a Bayesian dynamic factor model to obtain aggregate and sectoral economic activity indices. We find a remarkable increase in volatility 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. We do find evidence of moderation in the nominal series, however, and reproduce the standard result of moderation since the 1980s. Our estimates broadly confirm the NBER historical business cycle chronology as well the National Income and Product Accounts, except for World War II where they support alternative estimates of Kuznets (1952).
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by London School of Economics and Political Science, Department of Economic History in its series Economic History Working Papers with number 22305.
Length: 44 pages
Date of creation: Dec 2008
Date of revision:
Contact details of provider:
Postal: LSE, Dept. of Economic History Houghton Street London, WC2A 2AE, U.K.
Phone: +44 (0) 20 7955 7084
Web page: http://www.lse.ac.uk/economicHistory/
More information through EDIRC
Other versions of this item:
- Albrecht Ritschl & Samad Sarferaz & Martin Uebele, 2008. "The U.S. Business Cycle, 1867-1995: Dynamic Factor Analysis vs. Reconstructed National Accounts," SFB 649 Discussion Papers SFB649DP2008-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- N0 - Economic History - - General
- O51 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - U.S.; Canada
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2008.
"Explaining the Great Moderation: it is not the shocks,"
Working Paper Series
0865, European Central Bank.
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008. "Explaining The Great Moderation: It Is Not The Shocks," Journal of the European Economic Association, MIT Press, vol. 6(2-3), pages 621-633, 04-05.
- Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2007. "Explaining The Great Moderation: It Is Not The Shocks," CEPR Discussion Papers 6600, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, . "Explaining the great moderation: it is not the shocks," ULB Institutional Repository 2013/6413, ULB -- Universite Libre de Bruxelles.
- Jordi Galí & Luca Gambetti, 2006.
"On the sources of the Great Moderation,"
Economics Working Papers
1041, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 2007.
- Luca Gambetti & Jordi Galí, 2007. "On the sources of the Great Moderation," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- 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.
- Joseph H. Davis & Christopher Hanes & Paul W. Rhode, 2009.
"Harvests and Business Cycles in Nineteenth-Century America,"
The Quarterly Journal of Economics,
MIT Press, vol. 124(4), pages 1675-1727, November.
- Joseph H. Davis & Christopher Hanes & Paul W. Rhode, 2009. "Harvests and Business Cycles in Nineteenth-Century America," NBER Working Papers 14686, National Bureau of Economic Research, Inc.
- Simon Kuznets & Lillian Epstein & Elizabeth Jenks, 1941.
"National Income and Its Composition, 1919-1938, Volume I,"
National Bureau of Economic Research, Inc, number kuzn41-1, May.
- Simon Kuznets & Lillian Epstein & Elizabeth Jenks, 1946. "National Income and Its Composition, 1919-1938, Volume II," NBER Books, National Bureau of Economic Research, Inc, number kuzn41-3, May.
- Robert J. Gordon, 1986. "The American Business Cycle: Continuity and Change," NBER Books, National Bureau of Economic Research, Inc, number gord86-1, May.
- John W. Kendrick, 1961. "Productivity Trends in the United States," NBER Books, National Bureau of Economic Research, Inc, number kend61-1, May.
- Matthias Morys & Martin Ivanov, 2013. "The emergence of a European region: Business cycles in South-East Europe from political independence to World War II," Centre for Historical Economics and Related Research at York (CHERRY) Discussion Papers 13/01, CHERRY, c/o Department of Economics, University of York.
- Matthias Morys & Martin Ivanov, 2009. "Common factors in South-East Europe’s business cycles 1899 - 1989," SEEMHN papers 1, National Bank of Serbia.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lucy Ayre on behalf of EH Dept.).
If references are entirely missing, you can add them using this form.