The role of oscillatory modes in US business cycles

Groth Andreas, Ghil Michael, Hallegatte Stéphane, Dumas Patrice. 2015. The role of oscillatory modes in US business cycles. OECD Journal: Journal of Business Cycle Measurement and Analysis, 2015 (1) : 63-81.

Résumé : 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.

Mots-clés Agrovoc : politique agricole, modèle mathématique, méthode statistique, relevé (des données), économie agricole

Mots-clés géographiques Agrovoc : États-Unis d'Amérique

Classification Agris : E10 - Économie et politique agricoles
U30 - Méthodes de recherche
000 - Autres thèmes

Champ stratégique Cirad : Hors axes (2014-2018)

Auteurs et affiliations

• Groth Andreas, ENS (FRA)
• Ghil Michael, ENS (FRA)
• Hallegatte Stéphane, ENM (FRA)
• Dumas Patrice, CIRAD-ES-UMR CIRED (FRA) ORCID: 0000-0002-3896-7589

Source : Cirad-Agritrop (https://agritrop.cirad.fr/586759/)

Métriques

[ Page générée et mise en cache le 2024-11-13 ]