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A new monthly chronology of the US industrial cycles in the prewar economy

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Author Info

  • Amélie Charles

    (Audencia - Audencia)

  • Olivier Darné

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - Université de Nantes : EA4272)

  • Claude Diebolt

    ()
    (BETA - Bureau d'économie théorique et appliquée - CNRS : UMR7522 - Université de Strasbourg - Université Nancy II)

  • Laurent Ferrara

    (Banque de France - Banque de France)

Abstract

This article extends earlier efforts at redating the US industrial cycles for the prewar period (1890-1938) using the methodologies proposed by Bry and Boschan (1971) and Hamilton (1989) and based on the monthly industrial production index constructed by Miron and Romer (1990). The alternative chronology detects 90% of the peaks and troughs identified by the NBER and Romer (1994), but the new dates are consistently dated earlier for more than 50% of them, especially as regards the NBER troughs. The new dates affect the comparison of the average duration of recessions and expansions in both pre- WWI and interwar eras. Whereas the NBER reference dates show an increase in average duration of the expansions between the pre-WWI and interwar periods, the new dates show evidence of shortened length of expansions. However, the new dates confirm the traditional finding that the length of contractions increases between the both eras.

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Bibliographic Info

Paper provided by HAL in its series Working Papers with number hal-00693342.

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Date of creation: 02 May 2012
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Handle: RePEc:hal:wpaper:hal-00693342

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Keywords: Industrial business cycle ; Dating chronology.;

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References

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  1. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
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  3. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "A turning point chronology for the Euro-zone," Working Papers 2007_33, Department of Economics, University of Venice "Ca' Foscari".
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  12. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1.
  13. Davis, Joseph H., 2006. "An Improved Annual Chronology of U.S. Business Cycles since the 1790s," The Journal of Economic History, Cambridge University Press, vol. 66(01), pages 103-121, March.
  14. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  15. Layton, Allan P. & Smith, Daniel R., 2007. "Business cycle dynamics with duration dependence and leading indicators," Journal of Macroeconomics, Elsevier, vol. 29(4), pages 855-875, December.
  16. Ferrara, Laurent, 2003. "A three-regime real-time indicator for the US economy," Economics Letters, Elsevier, vol. 81(3), pages 373-378, December.
  17. Harding, Don & Pagan, Adrian, 2003. "A comparison of two business cycle dating methods," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1681-1690, July.
  18. Pilar Bengoechea & Gabriel Pérez-Quirós, 2004. "A useful tool to identify recessions in the euro-area," Banco de Espa�a Working Papers 0419, Banco de Espa�a.
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Cited by:
  1. Thi Hong Van Hoang, 2012. "Has gold been a hedge against inflation in France from 1949 to 2011? Empirical evidence of the French specificity," Working Papers 12-05, Association Française de Cliométrie (AFC).
  2. Claude Diebolt & Mamoudou Toure & Jamel Trabelsi, 2012. "Monetary Credibility Effects on Inflation Dynamics: A Macrohistorical Case Study," Working Papers 12-04, Association Française de Cliométrie (AFC).

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