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).
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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
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Postal: LSE, Dept. of Economic History Houghton Street London, WC2A 2AE, U.K.
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Web page: http://www.lse.ac.uk/economicHistory/
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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
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