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.
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.
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|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 email@example.com|
|Keywords:||Business cycles, Turning points, Business cycle dating algorithm, Business cycle asymmetries, Markov switching, Duration dependence|
|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 00:00|
|Last Modified:||20 Apr 2015 01:23|
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