Duration of Business Cycles

30 Pages Posted: 2 Jun 2006

Date Written: April 2006

Abstract

In this paper the Bry and Boschan (1971) procedure is modified such that it can be applied to quarterly data in order to recalculate the maximum duration of business cycles. In this way it can be shown that the maximum duration of business cycles constitutes 42 quarters in the United States of America and 49 quarters in the United Kingdom. The large difference to the maximum duration of Burns and Mitchell (1946) makes clear that caution is advisable with the application of the filters by Baxter and King (1999) and Christiano and Fitzgerald (2003). If one chooses the maximum duration too low (high), the amplitude of the medium-term business cycles is underestimated (overestimated) and the variability of the growth rate of the long-term trend is overestimated (underestimated).

Keywords: Duration, Business Cycles, Dating Turning Points, Non-Parametric Procedure, Minimum Duration, Maximum Duration, Band-Pass Filter

JEL Classification: E32, E37

Suggested Citation

Everts, Martin, Duration of Business Cycles (April 2006). Available at SSRN: https://ssrn.com/abstract=905804 or http://dx.doi.org/10.2139/ssrn.905804

Martin Everts (Contact Author)

Axpo Holding AG

Parkstrasse 23
Baden, CH-5401
Switzerland

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