Comparisons are made among simplesum and divisia aggregates using. This paper empirically investigates and theoretically reflects on the generality of the stylized facts discussed in business cycle analysis. When evaluating dynamic economic models, it is always important to keep in mind the stylized facts we want those models to be able to reproduce. Importance of stylized facts springer for research. Stylized facts, empirical research and theory development. The stylized facts of macroeconomic time series can be presented by fitting structural time series models. Over the past 50 years, real gdp has increased during. Whereas numerous analyses of us business cycle stylized facts are. Stylized facts for business cycles in turkey harun alp, yusuf soner ba skaya, mustafa k. The paper also documents how shocks originating from abroad are propagated to the broader economy. In order to analyze changes in the properties of the mexican business cycle, the whole period of analysis is divided into two subperiods, 1980 1995 and 19962006. Stylized facts for business cycles in turkey semantic scholar. Introduction and motivations the debate over the mutual relationship between business cycles and inequality is an old one, but in recent years it has regained popularity in economic discourse.
This note describes some basic facts about us business cycles and then examines how well the basic rbc model can t those facts. This paper investigates the business cycles in output and real output in nine countries. In short, the record shows much diversity of the so measured business cycles. Brandner, peter, klaus neusser, business cycles in open economies. In this paper, we try to establish such stylized facts for swedish business cycles. Stylized facts about us business cycles graduate macro ii, spring 2010 the university of notre dame professor sims this document details several stylized facts about postwar us macroeconomic data. Stylized facts of business cycles in the g7 from a real. This study documents the stylized facts about the business cycles in turkey using quarterly data between 1987 and 2009.
If you notice any errors, omissionsor typos, or if. Business cycle stylized facts in the oecd countries. This paper compiles a set of stylised facts about the euro area business cycle. Business cycle stylized facts and inventory behaviour european. The evidence suggests that the real business cycles model can account for several major stylized facts for all seven countries. Business cycle facts federal reserve bank of san francisco working paper. That the state space approach can constitute a reliable framework for deriving the business cycles stylized facts has been demonstrated in a consistent way by harvey and jaeger 1993. Stylized facts of business cycles in the g7 from a real business. Macrofinancial history and the new business cycle facts. Stylized facts on business cycles and inequality 1. Austrian institute of economic research, wifo working papers no. More complete description of what a business cycle is. Pdf stylized facts of money and credit over the business.
Detrending methods and stylized facts of business cycles in norway an international comparison, empirical economics, springer, vol. Stylized facts about business cycles the hodrick prescott filter can be applied on subcomponents of gdp as well as on other variables. Stylized facts of business cycles in a transition economy. If we define the business cycle, as suggested by lucas 1977 and sargent 1987, through the coherence between time series at certain frequencies, filtering out those frequencies is of special interest. Although it is found that idiosyncratic features are present in singapores macroeconomic fluctuations, there are also stylized business cycle facts to be learnt about small open economies in general. Since inventories are associated with the production of goods, we perform our analysis using industrial production as a reference for business cycle movements. Pdf stylized facts of the mexican business cycles researchgate. Stylized facts of business cycles, excess volatility and. In an attempt to explain this apparent stylized fact, there has been a proliferation of theoretical business cycle models. Business cycles, stylized facts, and the exchange rate regime. Abstract this paper empirically investigates and theoretically reflects on the generality of some stylized facts of business cycles. Department of economics, unicersity of rochester, rochester, ny 14627, usa. Chetan ghate, associate professor indian statistical institute delhi center.
Stylized facts of business cycles in the oecd countries. Real businesscycle theory rbc theory is a class of new classical macroeconomics models in which businesscycle fluctuations to a large extent can be accounted for by real in contrast to nominal shocks. We detail here the standard approach following harvey 1989 as well as harvey and jaeger 1993. A stylized fact is often a broad generalization that summarizes data, which although essentially true may have inaccuracies in the detail. The new stylized facts that we discover should prove fertile ground for the development of a new generation of macroeconomic models with a prominent role for. The behavior of money, credit, and prices in a real business cycle, nber working papers 0853, national bureau of economic research, inc. Although most contractions were short and mild, some were long and or severe. Business cycle, demand shocks, dsge models, dynamic principal components. The definition of the business cycle provides a further, deeper justification. In social sciences, especially economics, a stylized fact is a simplified presentation of an empirical finding.
Stylised facts for new zealand business cycles nzae. Pdf this paper provides a description of some of the empirical regularities for the mexican business cycle. More on stylized facts, in particular their robustness. Volume 29, issue 4 stylized facts of prices and interest rates over the business cycle ioanna konstantakopoulou athens university of economics and business eftymios tsionas tryphon. Pdf stylized facts of prices and interest rates over the. In particular, we document the business cycle turning points and average. Business cycles apostolos serletis and david krause t his paper investigates the basic nominal stylized facts of business cycles in the united states using monthly data from 1960. This paper investigates the robustness of central macroeconomic stylized facts to i commonlyemployed detrending methods, and ii the exchange rate regime. We detect the longrun and shortrun relationships between the cyclical components of output and real output, using autoregressive distributed lag and error. Business cycle stylized facts and inventory behaviour. Section 3 reports the main stylized facts concerning the euro area business cycle and includes an analysis of volatility patterns over time. In recent years, the stylized facts of business cycles have been again in the forefront of research in macroeconomics. Helfat tuck school of business,dartmouth college,usa facts matter stylized facts matter enormously in management inquiry because such inquiry ultimately deals with the real world.
Measuring business cycles with the hp filter 932 2. Business cycle stylized facts from a transitioning economy chetan ghate, radhika pandey, ila patnaik working paper no. Econ 219 supplementary notes for chapter 3 business cycle. Within this framework, we analyse the consequences of the widely used detrending technique popularised by hodrick and prescott 1980. We analyse the business cycle properties of up to 20 economic. This paper investigates the basic stylized facts of business cyles in the oecd countries using quarterly data from 1970 to 1994. Labor input varies considerably and procyclically goes up. This paper investigates the basic nominal stylized facts of business cycles in the united states using monthly data from 1960.
Employment as well as the pdffiles of the discussion papers see. Using data for 19602016 and a sample of oecd countries, the duration of business cycles as well as three models capturing core macroeconomic relations are estimated. Stylized facts of money and credit over the business cycles article pdf available in applied financial economics 2123. In the last years the study of business cycles, on both theoretical and empirical levels, has been again in the forefront of research in economics. Most of these are outlined in the beginning of chapter 4 in romer. Pdf the paper presents stylized facts of eurolands business cycle using aggregated data. Nominal business cycle facts, real business cycle facts, turkish economy. Stylized facts of money and credit over the business cycles.
Business cycle measurement these notes are to supplement the book in the following respect. Pdf new evidence on stylized facts of the business cycle. Northholland stylized facts of business cycles in the g7 from a real business cycles perspective riccardo fiorito university of siena, siena, italy tryphon kollintzas athens university of economics and business and l moi i, athens, greece, and cepr, london, uk received april 1992. The convention within the literature is to look at hp detrended data to examine the business cycle. Ql 3 the robustness to detrending method of key business cycle statistics. Using oecd data for 1960 2010, the duration of business cycles as well as three models capturing core macroeconomic relations are estimated.
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