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Business-Cycle Dynamics: An Empirical Assessment

Author

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  • Masahiko Shibamoto

    (Research Institute for Economics and Business Administration and Center for Computational Social Science, Kobe University, JAPAN)

Abstract

This study provides an empirical assessment of business cycle dynamics using a structuralvector autoregressive (VAR) model that measures cyclical output and identifies business cycle shocks as the main drivers. Using the same data and reduced-form VAR setup as Angeletos et al. (2020, American Economic Review), we estimate the dynamic effects of this shock on the U.S. economy. The cyclical output indicated by the model closely tracked the standard measure of the output gap. The identified business cycle shock has long-lasting effects on both demand- and supply-side factors, permanently influencing output and affecting labor productivity and total factor productivity. These findings contradict the prevailing notion that business cycles are short-term phenomena and suggest that the forces driving them contribute to medium-term dynamics. This implies a pivotal connection between short-term stabilization and long-term growth.

Suggested Citation

  • Masahiko Shibamoto, 2025. "Business-Cycle Dynamics: An Empirical Assessment," Discussion Paper Series DP2025-30, Research Institute for Economics & Business Administration, Kobe University.
    • Handle: RePEc:kob:dpaper:dp2025-30
    as

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    File URL: https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2025-30.pdf
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    References listed on IDEAS

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    Keywords

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    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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