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Empirical results on the size distribution of business cycle phases

  • Di Guilmi, Corrado
  • Gaffeo, Edoardo
  • Gallegati, Mauro

We study the size distribution of business cycles phases, that is expansions and contractions, for a sample of 16 industrialized countries over 120 years. We find that the best-fitting distribution for both expansions and contractions is Weibull, meaning that business cycles possess a characteristic scale. Furthermore, we discuss how parameters’ estimates can be used to make inference on the probability a typical episode ends, that is on what economists call turning points.

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File URL: http://www.sciencedirect.com/science/article/pii/S0378437103009415
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Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 333 (2004)
Issue (Month): C ()
Pages: 325-334

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Handle: RePEc:eee:phsmap:v:333:y:2004:i:c:p:325-334
DOI: 10.1016/j.physa.2003.10.022
Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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  8. Dan Chin & John Geweke & Preston Miller, 2000. "Predicting Turning Points: Technical Paper 2000-3," Working Papers 13337, Congressional Budget Office.
  9. Stanley, Michael H. R. & Buldyrev, Sergey V. & Havlin, Shlomo & Mantegna, Rosario N. & Salinger, Michael A. & Eugene Stanley, H., 1995. "Zipf plots and the size distribution of firms," Economics Letters, Elsevier, vol. 49(4), pages 453-457, October.
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  12. Daniel M. Chin & John F. Geweke & Preston J. Miller, 2000. "Predicting turning points," Staff Report 267, Federal Reserve Bank of Minneapolis.
  13. Canning, D. & Amaral, L. A. N. & Lee, Y. & Meyer, M. & Stanley, H. E., 1998. "Scaling the volatility of GDP growth rates," Economics Letters, Elsevier, vol. 60(3), pages 335-341, September.
  14. Gaffeo, Edoardo & Gallegati, Mauro & Giulioni, Gianfranco & Palestrini, Antonio, 2003. "Power laws and macroeconomic fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 408-416.
  15. Christina D. Romer, 1999. "Changes in Business Cycles: Evidence and Explanations," Journal of Economic Perspectives, American Economic Association, vol. 13(2), pages 23-44, Spring.
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