Post-War U.S. Business Cycles: An Empirical Investigation

Posted: 4 May 2000

See all articles by Robert J. Hodrick

Robert J. Hodrick

Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

Edward C. Prescott

Arizona State University (ASU) - Economics Department; National Bureau of Economic Research (NBER)

Abstract

We propose a procedure for representing a time series as the sum of a smoothly varying trend component and a cyclical component. We document the nature of the co-movements of the cyclical components of a variety of macroeconomic time series. We find that these co-movements are very different than the corresponding co-movements of the slowly varying trend components.

JEL Classification: N22

Suggested Citation

Hodrick, Robert J. and Prescott, Edward C., Post-War U.S. Business Cycles: An Empirical Investigation. JOURNAL OF MONEY, CREDIT AND BANKING, Vol. 28, No. 4 (February 1997), Available at SSRN: https://ssrn.com/abstract=5052

Robert J. Hodrick

Columbia Business School - Finance and Economics ( email )

3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)

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New York, NY 10016-4309
United States

Edward C. Prescott (Contact Author)

Arizona State University (ASU) - Economics Department ( email )

Tempe, AZ 85287-3806
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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