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The role of oscillatory modes in US business cycles

Groth A., Ghil M., Hallegatte S., Dumas P.. 2015. OECD Journal: Journal of Business Cycle Measurement and Analysis, 2015 (1) : p. 63-81.

We apply multivariate singular spectrum analysis to the study of US business cycle dynamics. This method provides a robust way to identify and reconstruct oscillations, whether intermittent or modulated. We show such oscillations to be associated with comovements across the entire economy. The problem of spurious cycles generated by the use of detrending filters is addressed and we present a Monte Carlo test to extract significant oscillations. The behavior of the US economy is shown to change significantly from one phase of the business cycle to another: the recession phase is dominated by a five-year mode, while the expansion phase exhibits more complex dynamics, with higher-frequency modes coming into play. We show that the variations so identified cannot be generated by random shocks alone, as assumed in "real" business-cycle models, and that endogenous, deterministically generated variability has to be involved. (Résumé d'auteur)

Mots-clés : Économie agricole; relevé (des données); méthode statistique; modèle mathématique; politique agricole; États-unis

Thématique : Economie et politique agricoles; Méthodes de relevé; Autres thèmes

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