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Investigating Cycle Anatomy

Author

Listed:
  • Max Gillman
  • Adrian Pagan

Abstract

TAngeletos et al. (2020) (ACD) identify a main shock among oscillations for 10 variables, including Total Factor Productivity (TFP). A striking conclusion is that the "main" shock has little effect on TFP, from which ACD call into question models that make TFP important for cycles. We show that this result is not robust to an alternative definition of the cycle. When we identify cycles with NBER turning point methods, and allow TFP shocks to be exogenous instead of endogenous as in ACD, they have an impact that tends to be larger than the "main" shock of ACD. TFP matters.

Suggested Citation

  • Max Gillman & Adrian Pagan, 2023. "Investigating Cycle Anatomy," CAMA Working Papers 2023-09, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    • Handle: RePEc:een:camaaa:2023-09
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    File URL: https://cama.crawford.anu.edu.au/sites/default/files/publication/cama_crawford_anu_edu_au/2023-02/9_2023_gillman_pagan.pdf
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    Cited by:

    1. Ye Lu & Adrian Pagan, 2023. "To Boost or Not to Boost? That is the Question," CAMA Working Papers 2023-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    More about this item

    Keywords

    Activity Cycle; Oscillatory Cycle; Contribution of TFP Shocks;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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