Long cycles in growth: explorations using new frequency domain techniques with US data
AbstractIn his celebrated 1966 Econometrica article, Granger first hypothesized that there is a ‘typical’ spectral shape for an economic variable. This ‘typical’ shape implies decreasing levels of energy as frequency increases, which in turn implies an extremely long cycle in economic fluctuations and particulary in growth. Spectral analysis is however based on certain assumptions particulary in that render these basic frequency domain techniques inappropriate for analysing non-stationary economic data. In this paper three recent frequency domain methods for extracting cycles from non-stationary data are used with US real GNP data to analyse fluctuations in economic growth. The findings, among others, are that these more recent frequency domain techniques do not provide evidence to support the ‘typical’ spectral shape and nor an extremely long growth cycle á la Granger.
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Bibliographic InfoPaper provided by Bank of Finland in its series Research Discussion Papers with number 6/2010.
Length: 49 pages
Date of creation: 21 Feb 2010
Date of revision:
business cycles; growth cycles; frequency domain; spectral analysis; long cycles; Granger; wavelet analysis; Hilbert-Huang Transform (HHT); empirical mode decomposition (EMD); non-stationarity;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- O47 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Measurement of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-04-17 (All new papers)
- NEP-ETS-2010-04-17 (Econometric Time Series)
- NEP-FDG-2010-04-17 (Financial Development & Growth)
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- Benhmad, François, 2013. "Dynamic cyclical comovements between oil prices and US GDP: A wavelet perspective," Energy Policy, Elsevier, vol. 57(C), pages 141-151.
- Tausch, Arno, 2013. "The hallmarks of crisis. A new center-periphery perspective on long cycles," MPRA Paper 48356, University Library of Munich, Germany.
- Gallegati, Marco & Ramsey, James B., 2013. "Structural change and phase variation: A re-examination of the q-model using wavelet exploratory analysis," Structural Change and Economic Dynamics, Elsevier, vol. 25(C), pages 60-73.
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