Measuring Stylized Business Cycles Facts Using Stochastic Cycles
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 parti...| Link(s) zu Dokument(en): | IHS Publikation |
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| Format: | IHS Series NonPeerReviewed |
| Sprache: | Englisch |
| Veröffentlicht: |
Institut für Höhere Studien
1997
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| Zusammenfassung: | 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.; |
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