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Measuring Stylized Business Cycles Facts Using Stochastic Cycles

Author

Listed:
  • Ruenstler, Gerhard

    (Institute for Advanced Studies, Vienna)

Abstract

The study proposes a multivariate unobserved components model in order to examine relationships at business cycle frequencies among macroeconomic variables. The series are decomposed into non-stationary trends, stationary cycles, and an irregular component. The co-movements among the particular cycles are modelled by a latent factor, whose dynamics is governed by a stochastic cycle. As a consequence of certain symmetry properties of the latter cyclical co-movement can be parametrized in terms of relative variances, phase shifts, and coherence. The model is applied to a U.S. labour market data set.

Suggested Citation

  • Ruenstler, Gerhard, 1997. "Measuring Stylized Business Cycles Facts Using Stochastic Cycles," Economics Series 50, Institute for Advanced Studies.
    • Handle: RePEc:ihs:ihsesp:50
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    File URL: https://irihs.ihs.ac.at/id/eprint/1028
    File Function: First version, 1997
    Download Restriction: no
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    More about this item

    Keywords

    Unobserved Components Models; Business Cycles; Labour; Markets;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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