The Role of Oscillatory Modes in U.S. Business Cycles

26 Pages Posted: 5 Jun 2012

See all articles by Andreas Groth

Andreas Groth

Ecole Normale Supérieure

Michael Ghil

University of California; ENS, Paris

S. Hallegatte

World Bank

Patrice Dumas

Centre De Coopération Internationale En Recherche Agronomique Pour Le Développement (CIRAD)

Date Written: June 5, 2012

Abstract

We apply the advanced time-and-frequency-domain method of singular spectrum analysis to study business cycle dynamics in a set of nine U.S. macroeconomic indicators. This method provides a robust way to identify and reconstruct shared oscillations, whether intermittent or modulated. We address the problem of spurious cycles generated by the use of detrending filters and present a Monte Carlo test to extract significant oscillations. Finally, we demonstrate that the behavior of the U.S. economy changes significantly between episodes of growth and recession; these variations cannot be generated by random shocks alone, in the absence of endogenous variability.

Keywords: advanced spectral methods, comovements, frequency domain, Monte Carlo testing, time domain

JEL Classification: C15, C60, E32

Suggested Citation

Groth, Andreas and Ghil, Michael and Hallegatte, Stephane and Dumas, Patrice, The Role of Oscillatory Modes in U.S. Business Cycles (June 5, 2012). FEEM Working Paper No. 26.2012. Available at SSRN: https://ssrn.com/abstract=2077454 or http://dx.doi.org/10.2139/ssrn.2077454

Andreas Groth (Contact Author)

Ecole Normale Supérieure ( email )

24, rue Lhomond
Paris cedex 05, 75230
France

Michael Ghil

University of California ( email )

Los Angeles, CA 90095
United States

ENS, Paris ( email )

Paris, 75005
France

Stephane Hallegatte

World Bank ( email )

1818 H Street NW
Washington, DC 20433
United States

Patrice Dumas

Centre De Coopération Internationale En Recherche Agronomique Pour Le Développement (CIRAD)

42, rue Scheffer
Paris, 75116
France

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