More international evidence on the historical properties of business cycles

A’Hearn, Brian; Woitek, Ulrich

doi:10.1016/s0304-3932(01)00045-9

Cited by 93 publications

(41 citation statements)

References 25 publications

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“…In other words, the RBC model does a relatively better job at explaining output fluctuations at short-and long-forecast horizons. Also, the general pattern of the consumption and hours FEDs in the VAR (1) and VARMA(1,1) models are similar to those reported in Ireland (2004). That is, the RBC model's explanatory power increases (decreases) as the consumption (hours) horizon increases.…”

Section: Forecast Error Decompositionssupporting

confidence: 68%

“…13 By simulating smoothed states α t and η t using the posterior means of the model parameters, we arrive at data predictions from the RBC and the error blocks of the model. 14 Next, for each model (AR(1), VAR (1) and VARMA (1,1)) and each component part (RBC and error system), we simulate 1000 replications of the technology shock and the shocks to the error system, respectively. To obtain the predictions of the RBC block, the measurement equation in (14) becomeŝ…”

Section: Rbc Model Versus Error System Fitmentioning

confidence: 99%

“…In a similar vein, when reviewing the results from a vast range of studies based on calibration and econometric estimation, 1 Chari et al (2007a p. 39) argue, "The message we get from these and related studies in the business cycle literature is that a plausible case can be made that in the US data, technology shocks account for essentially any value between zero and 100% of output variance. Put differently, when the US data are viewed through the lens of the growth model, dismissing any estimate in this range is unreasonable".…”

Section: Introductionmentioning

confidence: 99%

“…This method is motivated by the desire to avoid the problem of stochastic singularity due to the presence of only one source of uncertainty in the basic RBC model. To this end Ireland builds directly on the work of Sargent (1989), Altug (1989), McGrattan (1994), Hall (1996) and McGrattan et al (1997) by also adding scalar AR (1) errors to the observation equations of the state-space representation of the RBC model. However in contrast to these authors, he further allows for cross-equation correlation between these errors using a VAR(1) structure.…”

Section: Introductionmentioning

confidence: 99%

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Technology shocks and aggregate fluctuations in an estimated hybrid RBC model

Malley

Woitek

2010

Journal of Economic Dynamics and Control

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This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of technology shocks in explaining aggregate fluctuations. To this end we estimate the model's posterior density using Markov-Chain Monte-Carlo (MCMC) methods. Within this framework we extend Ireland's (2001Ireland's ( , 2004 hybrid estimation approach to allow for a vector autoregressive moving average (VARMA) process to describe the movements and co-movements of the model's errors not explained by the basic RBC model. The results of marginal likelihood ratio tests reveal that the more general model of the errors significantly improves the model's fit relative to the VAR and AR alternatives. Moreover, despite setting the RBC model a more difficult task under the VARMA specification, our analysis, based on forecast error and spectral decompositions, suggests that the RBC model is still capable of explaining a significant fraction of the observed variation in macroeconomic aggregates in the post-war U.S. economy.

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Section: Forecast Error Decompositionssupporting

confidence: 68%

Section: Rbc Model Versus Error System Fitmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Technology shocks and aggregate fluctuations in an estimated hybrid RBC model

Malley

Woitek

2010

Journal of Economic Dynamics and Control

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“…432, 604-607). A recent application to economic time series is A'Hearn and Woitek (2001). 20 L is the backshift operator; the superscript ' * ' denotes the complex conjugate transpose.…”

Section: Appendix A: Modified Baxter-king Filtermentioning

confidence: 99%

Real earnings and business cycles: new evidence

2008

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In the time domain, the observed cyclical behavior of the real wage hides a range of economic influences that give rise to cycles of differing lengths and strengths. This may serve to produce a distorted picture of wage cyclicality. Here, we employ frequency domain methods that allow us to assess the relative contribution of cyclical frequency bands on real wage earnings. Earnings are decomposed into standard and overtime components. We also distinguish between consumption and production wages. Frequency domain analysis is carried out in relation to wages alone and to wages in relation to output and employment cycles. Our univariate analysis suggests that, in general, the dominant cycle followed by output, employment, real consumer and producer wages and their components is 5-7 years. Consistent with previous findings reported in the macro-level literature, our bi-variate results show that the various measures of the wage are generally not linked to the employment cycle. However, and in sharp contrast with previous macro-level studies we find strong procyclical links between the consumer wage and its overtime components and the output cycle, especially at the 5-7 years frequency.

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The fall and rise of business cycle co-movements in Imperial Austria’s regions

Ciccarelli

Missiaia

2017

Ann Reg Sci

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This paper investigates regional business cycle co-movements in Austria-Hungary from 1867 to 1913. Economic theory suggests that rising market integration induces sectoral specialisation, resulting in a reduction in the correlation of regional GDP cycles (Krugman effect). However, the synchronisation of business cycles is expected to increase because of the growing inter-linkages among regions led by the adoption of common currency and common economic policies (Frankel and Rose effect). We show that in the case of nineteenth-century Austria-Hungary the specialisation effect, most likely amplified by the stock market crisis of 1873, prevailed during 1867-1890, while the common currency/policy effect prevailed during 1890-1913, when the gold standard was adopted in both Austria and Hungary. However, core and peripheral regions contributed differently to the correlation of business fluctuations.

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More international evidence on the historical properties of business cycles

Cited by 93 publications

References 25 publications

Technology shocks and aggregate fluctuations in an estimated hybrid RBC model

Technology shocks and aggregate fluctuations in an estimated hybrid RBC model

Real earnings and business cycles: new evidence

The fall and rise of business cycle co-movements in Imperial Austria’s regions

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