Business Cycle Fluctuations in U.S. Macroeconomic Time Series

83 Pages Posted: 24 Jul 2000 Last revised: 4 Nov 2022

See all articles by James H. Stock

James H. Stock

Harvard University - Department of Economics; National Bureau of Economic Research (NBER); Harvard University - Harvard Kennedy School (HKS)

Mark W. Watson

Princeton University - Princeton School of Public and International Affairs; National Bureau of Economic Research (NBER)

Date Written: April 1998

Abstract

This paper examines the empirical relationship in the postwar United States between the aggregate business cycle and various aspects of the macroeconomy, such as production, interest rates, prices, productivity, sectoral employment, investment, income, and consumption. This is done by examining the strength of the relationship between the aggregate cycle and the cyclical components of individual time series, whether individual series lead or lag the cycle, and whether individual series are useful in predicting aggregate fluctuations. The paper also reviews some additional empirical regularities in the U.S. economy, including the Phillips curve and some long-run relationships, in particular long-run money demand, long-run properties of interest rates and the yield curve, and the long-run properties of the shares in output of consumption, investment and government spending.

Suggested Citation

Stock, James H. and Watson, Mark W., Business Cycle Fluctuations in U.S. Macroeconomic Time Series (April 1998). NBER Working Paper No. w6528, Available at SSRN: https://ssrn.com/abstract=226265

James H. Stock (Contact Author)

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Harvard University - Harvard Kennedy School (HKS) ( email )

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Mark W. Watson

Princeton University - Princeton School of Public and International Affairs ( email )

Princeton University
Princeton, NJ 08544-1021
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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