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The role of oscillatory modes in US business cycles

Author

Listed:
  • Andreas Groth
  • Michael Ghil
  • Stéphane Hallegatte
  • Patrice Dumas

Abstract

We apply multivariate singular spectrum analysis to the study of US business cycle dynamics. This method provides a robust way to identify and reconstruct oscillations, whether intermittent or modulated. We show such oscillations to be associated with comovements across the entire economy. The problem of spurious cycles generated by the use of detrending filters is addressed and we present a Monte Carlo test to extract significant oscillations. The behavior of the US economy is shown to change significantly from one phase of the business cycle to another: the recession phase is dominated by a five-year mode, while the expansion phase exhibits more complex dynamics, with higher-frequency modes coming into play. We show that the variations so identified cannot be generated by random shocks alone, as assumed in “real” business-cycle models, and that endogenous, deterministically generated variability has to be involved.

Suggested Citation

  • Andreas Groth & Michael Ghil & Stéphane Hallegatte & Patrice Dumas, 2015. "The role of oscillatory modes in US business cycles," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2015(1), pages 63-81.
  • Handle: RePEc:oec:stdkab:5jrs0lv715wl
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    File URL: http://dx.doi.org/10.1787/jbcma-2015-5jrs0lv715wl
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    Citations

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    Cited by:

    1. Lisa Sella & Gianna Vivaldo & Andreas Groth & Michael Ghil, 2016. "Economic Cycles and Their Synchronization: A Comparison of Cyclic Modes in Three European Countries," Post-Print hal-01701122, HAL.
    2. Vivien Sainte Fare Garnot & Andreas Groth & Michael Ghil, 2018. "Coupled Climate-Economic Modes in the Sahel's Interannual Variability," Post-Print hal-01855370, HAL.
    3. repec:spr:jbuscr:v:12:y:2016:i:1:d:10.1007_s41549-016-0003-4 is not listed on IDEAS

    More about this item

    Keywords

    Advanced spectral methods; comovements; frequency domain; Monte Carlo testing; time domain;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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