Abstract

http://ssrn.com/abstract=1311192
 
 

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The U.S. Business Cycle, 1867-1995: A Dynamic Factor Approach


Albrecht Ritschl


London School of Economics - Department of Economic History; Centre for Economic Policy Research (CEPR)

Samad Sarferaz


Humboldt University of Berlin

Martin Uebele


Humboldt University of Berlin - School of Business and Economics

December 2008

CEPR Discussion Paper No. DP7069

Abstract:     
This paper reexamines U.S. business cycle volatility since 1867. We employ dynamic factor analysis as an alternative to reconstructed national accounts. We find a remarkable volatility increase across World War I, which is reversed after World War II. While we can generate evidence of postwar moderation relative to pre-1914, this evidence is not robust to structural change, implemented by time-varying factor loadings. However, we find moderation in the nominal series. Moreover, we reproduce the standard moderation since the 1980s. Our estimates confirm the NIPA data also for the 1930s but support alternative estimates of Kuznets (1952) for World War II.

Number of Pages in PDF File: 37

Keywords: dynamic factor analysis, U.S. business cycle, volatility

JEL Classification: C43, E32, N11, N12

working papers series





Date posted: December 18, 2008  

Suggested Citation

Ritschl, Albrecht and Sarferaz, Samad and Uebele, Martin, The U.S. Business Cycle, 1867-1995: A Dynamic Factor Approach (December 2008). CEPR Discussion Paper No. DP7069. Available at SSRN: http://ssrn.com/abstract=1311192

Contact Information

Albrecht Ritschl (Contact Author)
London School of Economics - Department of Economic History ( email )
Houghton Street
London, WC2A 2AE
United Kingdom
HOME PAGE: http://personal.lse.ac.uk/ritschl/
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
Samad Sarferaz
Humboldt University of Berlin ( email )
Spandauer Str. 1
Berlin, Berlin 10785
Germany
Martin Uebele
Humboldt University of Berlin - School of Business and Economics ( email )
Spandauer Str. 1
Berlin, D-10099
Germany
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