Pdf stylized facts of the mexican business cycles researchgate. Macrofinancial history and the new business cycle facts. When evaluating dynamic economic models, it is always important to keep in mind the stylized facts we want those models to be able to reproduce. Business cycle facts federal reserve bank of san francisco working paper. Ql 3 the robustness to detrending method of key business cycle statistics.
Although most contractions were short and mild, some were long and or severe. Department of economics, unicersity of rochester, rochester, ny 14627, usa. In short, the record shows much diversity of the so measured business cycles. The stylized facts of macroeconomic time series can be presented by fitting structural time series models. In an attempt to explain this apparent stylized fact, there has been a proliferation of theoretical business cycle models. Although it is found that idiosyncratic features are present in singapores macroeconomic fluctuations, there are also stylized business cycle facts to be learnt about small open economies in general. That the state space approach can constitute a reliable framework for deriving the business cycles stylized facts has been demonstrated in a consistent way by harvey and jaeger 1993. Labor input varies considerably and procyclically goes up. We analyse the business cycle properties of up to 20 economic. This paper investigates the basic nominal stylized facts of business cycles in the united states using monthly data from 1960. In particular, we document the business cycle turning points and average. Introduction and motivations the debate over the mutual relationship between business cycles and inequality is an old one, but in recent years it has regained popularity in economic discourse.
Stylized business cycle facts and the quantitative performance of the rbc model eric sims university of notre dame spring 2017 1 introduction this note describes some basic facts about us business cycles and then examines how well the basic rbc model can t those facts. The definition of the business cycle provides a further, deeper justification. We detail here the standard approach following harvey 1989 as well as harvey and jaeger 1993. Detrending, stylized facts and the business cycle harvey. We detect the longrun and shortrun relationships between the cyclical components of output and real output, using autoregressive distributed lag and error. Stylized facts, empirical research and theory development. Business cycles apostolos serletis and david krause t his paper investigates the basic nominal stylized facts of business cycles in the united states using monthly data from 1960. Unlike other leading theories of the business cycle, citation needed rbc theory sees business cycle. This note describes some basic facts about us business cycles and then examines how well the basic rbc model can t those facts. Business cycle, demand shocks, dsge models, dynamic principal components. Stylized facts about us business cycles graduate macro ii, spring 2010 the university of notre dame professor sims this document details several stylized facts about postwar us macroeconomic data.
In order to analyze changes in the properties of the mexican business cycle, the whole period of analysis is divided into two subperiods, 1980 1995 and 19962006. Employment as well as the pdffiles of the discussion papers see. Using data for 19602016 and a sample of oecd countries, the duration of business cycles as well as three models capturing core macroeconomic relations are estimated. Business cycle stylized facts from a transitioning economy chetan ghate, radhika pandey, ila patnaik working paper no. Most of these are outlined in the beginning of chapter 4 in romer. Comparisons are made among simplesum and divisia aggregates using. Stylized facts of business cycles in the g7 from a real. Abstract this paper empirically investigates and theoretically reflects on the generality of some stylized facts of business cycles. Detrending methods and stylized facts of business cycles in norway an international comparison, empirical economics, springer, vol. Stylized facts of business cycles in the g7 from a real business. The convention within the literature is to look at hp detrended data to examine the business cycle. Stylized facts for business cycles in turkey semantic scholar.
Section 3 reports the main stylized facts concerning the euro area business cycle and includes an analysis of volatility patterns over time. In the following sections, i analyze the cyclical structure of prices and money stock ml in addition to the gdp and its components. Business cycles, stylized facts, and the exchange rate regime. Stylized facts of business cycles, excess volatility and. This paper compiles a set of stylised facts about the euro area business cycle. If you notice any errors, omissionsor typos, or if. Austrian institute of economic research, wifo working papers no.
Reserve bank of india chair professor, icrier, new delhi. More on stylized facts, in particular their robustness. Pdf new evidence on stylized facts of the business cycle. This study documents the stylized facts about the business cycles in turkey using quarterly data between 1987 and 2009. Econ 219 supplementary notes for chapter 3 business cycle. Stylized facts of business cycles in the oecd countries. Stylized facts,empirical research and theory development in management constance e. Pdf stylized facts of prices and interest rates over the. Measuring business cycles with the hp filter 932 2. This paper investigates the business cycles in output and real output in nine countries. Business cycle stylized facts in the oecd countries. In recent years, the stylized facts of business cycles have been again in the forefront of research in macroeconomics. The behavior of money, credit, and prices in a real business cycle, nber working papers 0853, national bureau of economic research, inc.
In this paper, we try to establish such stylized facts for swedish business cycles. Business cycle stylized facts and inventory behaviour. In the last years the study of business cycles, on both theoretical and empirical levels, has been again in the forefront of research in economics. Importance of stylized facts springer for research. Stylized facts on business cycles and inequality 1. Nominal business cycle facts, real business cycle facts, turkish economy. Over the past 50 years, real gdp has increased during. The new stylized facts that we discover should prove fertile ground for the development of a new generation of macroeconomic models with a prominent role for.
Stylised facts for new zealand business cycles nzae. Pdf the paper presents stylized facts of eurolands business cycle using aggregated data. Since inventories are associated with the production of goods, we perform our analysis using industrial production as a reference for business cycle movements. Business cycle stylized facts and inventory behaviour european. Some stylised facts on the euro area business cycle, december 2001. Stylized facts for business cycles in turkey harun alp, yusuf soner ba skaya, mustafa k. The evidence suggests that the real business cycles model can account for several major stylized facts for all seven countries. Pdf stylized facts of money and credit over the business. Business cycle measurement these notes are to supplement the book in the following respect. A stylized fact is often a broad generalization that summarizes data, which although essentially true may have inaccuracies in the detail. Stylized facts about business cycles the hodrick prescott filter can be applied on subcomponents of gdp as well as on other variables.
Chetan ghate, associate professor indian statistical institute delhi center. This paper investigates the basic stylized facts of business cyles in the oecd countries using quarterly data from 1970 to 1994. Real businesscycle theory rbc theory is a class of new classical macroeconomics models in which businesscycle fluctuations to a large extent can be accounted for by real in contrast to nominal shocks. Pdf this paper provides a description of some of the empirical regularities for the mexican business cycle. Using oecd data for 1960 2010, the duration of business cycles as well as three models capturing core macroeconomic relations are estimated. Stylized facts of money and credit over the business cycles. More complete description of what a business cycle is.
Helfat tuck school of business,dartmouth college,usa facts matter stylized facts matter enormously in management inquiry because such inquiry ultimately deals with the real world. Whereas numerous analyses of us business cycle stylized facts are. Brandner, peter, klaus neusser, business cycles in open economies. Within this framework, we analyse the consequences of the widely used detrending technique popularised by hodrick and prescott 1980. This paper investigates the robustness of central macroeconomic stylized facts to i commonlyemployed detrending methods, and ii the exchange rate regime.
Stylized facts of business cycles in a transition economy. This paper empirically investigates and theoretically reflects on the generality of the stylized facts discussed in business cycle analysis. If we define the business cycle, as suggested by lucas 1977 and sargent 1987, through the coherence between time series at certain frequencies, filtering out those frequencies is of special interest. Business cycles, stylized facts, and the exchange rate. Although this idea of collecting stylized facts on. The paper also documents how shocks originating from abroad are propagated to the broader economy. In social sciences, especially economics, a stylized fact is a simplified presentation of an empirical finding. Volume 29, issue 4 stylized facts of prices and interest rates over the business cycle ioanna konstantakopoulou athens university of economics and business eftymios tsionas tryphon. Northholland stylized facts of business cycles in the g7 from a real business cycles perspective riccardo fiorito university of siena, siena, italy tryphon kollintzas athens university of economics and business and l moi i, athens, greece, and cepr, london, uk received april 1992. Stylized facts of money and credit over the business cycles article pdf available in applied financial economics 2123.
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