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

37 Pages Posted: 18 Dec 2008  

Albrecht Ritschl

London School of Economics & Political Science (LSE) - 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

Date Written: December 2008

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.

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

JEL Classification: C43, E32, N11, N12

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: https://ssrn.com/abstract=1311192

Albrecht Ritschl (Contact Author)

London School of Economics & Political Science (LSE) - 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 )

Unter den Linden 6
Berlin, Berlin 10099
Germany

Martin Uebele

Humboldt University of Berlin - School of Business and Economics ( email )

Spandauer Str. 1
Berlin, D-10099
Germany

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