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Business Cycle Fluctuations in U.S. Macroeconomic Time Series

  • James H. Stock
  • Mark W. Watson

This paper examines the empirical relationship in the postwar United States between the aggregate business cycle and various aspects of the macroeconomy, such as production, interest rates, prices, productivity, sectoral employment, investment, income, and consumption. This is done by examining the strength of the relationship between the aggregate cycle and the cyclical components of individual time series, whether individual series lead or lag the cycle, and whether individual series are useful in predicting aggregate fluctuations. The paper also reviews some additional empirical regularities in the U.S. economy, including the Phillips curve and some long-run relationships, in particular long-run money demand, long-run properties of interest rates and the yield curve, and the long-run properties of the shares in output of consumption, investment and government spending.

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File URL: http://www.nber.org/papers/w6528.pdf
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 6528.

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Date of creation: Apr 1998
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Publication status: Published as "Evidence on Structural Instability in Macroeconomic Time Series Relations", JBES, Vol. 14, no. 1 (January 1996): 11-30.
Handle: RePEc:nbr:nberwo:6528
Note: EFG ME
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  25. Stock, James H., 1987. "Measuring Business Cycle Time," Scholarly Articles 3425950, Harvard University Department of Economics.
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