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Dissecting the cycle: a methodological investigation

Harding, Don & Pagan, Adrian (2002) Dissecting the cycle: a methodological investigation. Journal of Monetary Economics, 49(2), pp. 365-381.

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Abstract

Following Burns and Mitchell we define the cycle as a pattern in the level of aggregate economic activity. An algorithm to locate turning points is developed, as is a new measure of pro-cyclicality. A link between turning points and the moments of the series is established thereby providing the statistical foundation that Burns and Mitchell's work lacked. Using these tools we are able to dissect cycles in terms of the contributions made by trend growth, volatility, serial correlation and non-linear effects. We dissect several models and find little evidence that certain non-linear effects are important to the nature of business cycles.

Impact and interest:

217 citations in Scopus
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171 citations in Web of Science®

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ID Code: 8044
Item Type: Journal Article
Additional Information: For more information or for a copy of this article see the publisher URL above or contact the author at a.pagan@qut.edu.au
Keywords: Business cycles, Turning points, Business cycle dating algorithm, Business cycle asymmetries, Markov switching, Duration dependence
DOI: 10.1016/S0304-3932(01)00108-8
ISSN: 0304-3932
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Copyright Owner: Copyright 2002 Elsevier
Deposited On: 06 Jun 2007
Last Modified: 11 Aug 2011 00:31

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