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Measuring Business Cycle Time

  • Stock, James H.
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    The business cycle analysis of Burns and Mitchell and the National Bureau of Economic Research presumed that aggregate economic variables evolve on a time scale defined by business cycle turning points rather than by months or quarters. Do macroeconomic variables appear to evolve on an economic rather than a calendar time scale? Evidence presented here suggests that they do. However, the estimated economic time scales are only weakly related to business cycle time scales, providing evidence against the view underlying traditional business cycle analysis.

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    File URL: http://dash.harvard.edu/bitstream/handle/1/3425950/Stock_MeasuringBusinessCycle.pdf
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    Paper provided by Harvard University Department of Economics in its series Scholarly Articles with number 3425950.

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    Date of creation: 1987
    Date of revision:
    Publication status: Published in Journal of Political Economy -Chicago-
    Handle: RePEc:hrv:faseco:3425950
    Contact details of provider: Postal: Littauer Center, Cambridge, MA 02138
    Phone: 617-495-2144
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    Web page: http://www.economics.harvard.edu/

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    1. Robert S. Pindyck, 1983. "Risk, Inflation, and the Stock Market," NBER Working Papers 1186, National Bureau of Economic Research, Inc.
    2. James M. Poterba & Lawrence H. Summers, 1984. "The Persistence of Volatility and Stock Market Fluctuations," NBER Working Papers 1462, National Bureau of Economic Research, Inc.
    3. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
    4. Charles L. Schultze, 1981. "Some Macro Foundations for Micro Theory," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 12(2), pages 521-592.
    5. Chetty, V. K. & Heckman, J. J., 1986. "A dynamic model of aggregate output supply, factor demand and entry and exit for a competitive industry with heterogeneous plants," Journal of Econometrics, Elsevier, vol. 33(1-2), pages 237-262.
    6. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
    7. Harvey, A. C. & Stock, James H., 1985. "The Estimation of Higher-Order Continuous Time Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 1(01), pages 97-117, April.
    8. Falk, Barry L., 1986. "Further Evidence on the Asymmetric Behavior of Economic Time Series over the Business Cycle," Staff General Research Papers 11097, Iowa State University, Department of Economics.
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