In the case given above, holding a phd may lower lifetime income, because of the years of lost earnings it implies and because many phd holders enter. Stylized facts of business cycles in the g7 from a real. Second, stylized facts are widely used as benchmark in examining the validity of numerical versions of theoretical models. Stylized facts of business cycles in a transition economy. This paper investigates the basic nominal stylized facts of business cycles in the united states using monthly data from 1960. This paper analyses the stylized facts of business cycles in norway, by comparing different detrending methods. Business cycles, stylized facts, and the exchange rate. Universal phenomenon, or institutionally determined. The overwhelming majority of empirical studies on business cycle fluctuations have analysed stylized facts focussing on the crosscountry differences and similarities of macroeconomic fluctuations in developed countries kydland and prescott, 1990, backus and kehoe, 1992, bergman. Stylized facts about business cycles are very sensitive to the length of the cycle used in separating the underlying growth performance from the business cycle component. Employment as well as the pdffiles of the discussion papers see.
Business cycle stylized facts from a transitioning economy chetan ghate radhika pandeyy ila patnaikzx april 11, 2011 abstract this paper presents a comprehensive set of stylised facts for business cycles in india from 1950 2009. Business cycle implications of capacity constraints under. An international investigation 19602004 efthymios tsionas assistant professor tryphon kollintzas ioanna konstantakopoulou professor lecturer 407 abstract this paper investigates the business cycles in output and real output in nine countries. I also perform a simple simulation exercise to replicate the stylized facts on the relationship between sectoral dynamics and business cycles. In recent years, the stylized facts of business cycles have been again in the forefront of research in macroeconomics. January 1997 abstract the aim of this paper is to test to what extent a benchmark real and monetary business cycle model can account for some basic stylized facts with a particular emphasis on monetary variables. Stylized facts of business cycles and the rbc model ii open eclass. 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. Longterm interest rates have been exceptionally high and.
The objective of the study is to identify the degree to which cyclical regularities, which are in conformity with theoretical modelling, are identified across property sectors. This paper studies the relationship between the business cycle and nancial intermediation in the euro area. The evidence suggests that the real business cycles model can account for several major stylized facts for all seven countries. This paper analyses the stylized facts of business cycles in mexico and turkey, by comparing the results obtained for the united states.
The discussion then proceeds from historical theories. A stylized fact is often a broad generalization that summarizes data, which although essentially true may have inaccuracies in the detail. The stylized facts of macroeconomic time series can be presented by fitting structural time series models. Ql 3 the robustness to detrending method of key business cycle statistics. Stylized facts of business cycles in a transition economy in. Citeseerx nominal stylized facts of business cycles. Business cycles in an oil economy lesseons from norway.
Institut fur weltwirtschaft kiel institute for the world economy, vol. Business cycle dates and duration when estimating the duration of business cycles, their turning points must be. As the choice of the appropriate data transformation depends on the nature of the underlying dynamic properties of the time series, a set of unit root tests are first applied to the data. Employment as well as the pdf files of the discussion papers see. Measuring business cycles with the hp filter 932 2. Theories of business cycles should presumably help us to understand the salient characteristics of the observed pervasive and persistent nonseasonal fluctuations of the economy. We nd that the nature of the business cycle has changed dramatically after indias. Volume 28, issue 16 research announcement new evidence on stylized facts of the 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.
However, scrutiny to detail will often produce counterexamples. Macroeconomic fluctuations in developing countries. The next chapter first presents a summary of these stylized facts. This study documents the stylized facts about the business cycles in turkey using quarterly data between 1987 and 2009.
Observable across other macroeconomic variables and sectors. This paper empirically investigates and theoretically reflects on the generality of some stylized facts of business cycles. 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. The simulated sectoral growth rates are drawn to match the joint distribution of the sectoral growth rate in the historical data, accounting for the comovement across sectors. Within this framework, we analyse the consequences of the widely used detrending technique popularised by hodrick and prescott 1980.
As indicated earlier, the objective of our article is to examine economic. Whereas numerous analyses of us business cycle stylized facts are. After all, it is the stylized facts which it provides that ought to be explained by the theory. Stylized facts of business cycles in the oecd countries.
Business cycle models and stylized facts in germany. Citeseerx document details isaac councill, lee giles, pradeep teregowda. This note describes some basic facts about us business cycles and then examines how well the basic rbc model can fit those facts. Excess volatility of real output as well as the relative volatility of consumption seems to be a problem for real business cycle models to account for. These broad contours lead us to a reevaluation of conventional stylized facts on business cycles using our newer and more comprehensive data, with a particular emphasis on real. So far, weve been concerned with growth long run trends 8. 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. Business cycles extraction and stylized facts seminar to advanced macroeconomics business cycles. Stylized facts of the business cycle in the g7 countries are derived using a stochastic trend model, which allows for structural breaks in the underlying series in various ways. Stylized facts of business cycles in the oecd countries abstract. Jaeger austrian institute of economic research, a1103 vienna, po box 91, austria summary the stylized facts of macroeconomic time series can be presented by fitting structural time. Business cycle stylized facts and inventory behaviour. The use of key statistical moments to describe business cycles goes back at least to the new classical tradition which emerged in the 1970s. Pdf czech business cycle stylized facts miroslav hlousek.
Macrofinancial history and the new business cycle facts federal. We embed this mechanism in a full dsge model in section 4, and discuss quantitative results in section 5. What are the key stylized facts of caribbean business cycles. Stylized facts of business cycles main features of business. Positive deviations called expansions or booms, negative deviations are recessions or contractions. The results are compared to those of backus and kehoes paper 1992 which used the hoderickprescott filter.
Section 3 reports the main stylized facts concerning the euro area business cycle and includes an analysis of volatility patterns over time. Stylized facts for business cycles in turkey harun alp, yusuf soner ba skaya, mustafa k. Stylized facts on business cycles and inequality 1. Section v offers some final remarks and suggestions for further empirical and theoretical analysis.
In particular, we document the business cycle turning points and average. Construct a theoretical business cycle model to explain business cycles evaluate ability of models to generate business cycles of realistic magnitude use the business cycle model to diagnose great depression 5. For example, documentation of the stylized facts for business cycles is important tool for the construction of theoretical models as statistical benchmarks and for the assessment of the validity of different theoretical models. 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. Traditionally, studies in this area of research have primarily dealt with documenting business cycle features. Comparisons are made among simplesum and divisia aggregates using. Comparisons are made among simplesum and divisia aggregates using the thornton and yue 1992 series of divisia.
Do expansions and contractions in the level of real output have similar features, and how do they compare with the business cycle defined as alternating periods of above and belowaverage rates of economic growth relative to. In advanced economies, real gdp growth fluctuates in a recurrent but irregular fashion. Stylized facts of money and credit over the business cycles. Detrending methods and stylized facts of business cycles in. 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. Section 4 then focuses on business cycle volatility reduction, looking in particular at. Stylized business cycle facts and the performance of the rbc model. The simulated sectoral growth rates are drawn to match the joint distribution of the sectoral growth rate in the historical data, accounting for. Since inventories are associated with the production of goods, we perform our analysis using industrial production as a reference for business cycle movements. Business cycles, stylized facts, and the exchange rate regime. Harvey department of statistics, london school of economics, houghton street, london wc2a 2ae, uk and a. Theory, history, indicators, and forecasting volume authoreditor. Stylized facts of business cycles in the g7 from a real business. Pdf stylized facts of money and credit over the business.
Other papers in literature also approached the business cycles using monthly data and the industrial production as a proxy for economic activity, see stock and watson 1998. Issec200011 stylized facts of business cycles, excess. Section iv summarizes the main results of the article. The paper also documents how shocks originating from abroad are propagated to the broader economy. We choose monthly data from romanian economy thus ensuring a maximal sample. The apparent slow growth of employment in the recoveries following the last two us recessions i. Business cycles characteristics of the mediterranean area. Comparisons are made among simplesum and divisia aggregates using the thornton and yue 1992 series of divisia monetary aggregates. Detrending, stylized facts and the business cycle harvey. Fiscal policies and money do not yield clear cut patterns. Applies the methodology adopted in contemporary business cycle research on establishing the stylized facts of aggregate output fluctuations, in the context of the office, industrial and retail building cycle. In social sciences, especially economics, a stylized fact is a simplified presentation of an empirical finding. Business cycle models and stylized facts in germany guy ertz.
Nov 01, 2012 stylized facts of romanian business cycles. 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. The use of key statistical moments to describe business cycles goes back at least to the new classical tradition which emerged in the 1970s 2. We establish stylized facts and study their stability during the global nancial crisis and the european sovereign debt crisis.
This paper documents the stylized facts about business cycles in turkey characterized by cross. Stylized facts about us business cycles university of notre dame. 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. The views expressed in imf working papers are those of the authors and do not necessarily represent the views of the imf. 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. This pdf is a selection from an outofprint volume from the national bureau of economic research volume title. In recent years, focus has been on how well the new keynesian and rbc models explain the socalled stylized facts of business cycles. Detrending methods and stylized facts of business cycles. Pdf new evidence on stylized facts of the business cycle. Yet, existing literature is almost exclusively concerned with developed countries. Business cycle facts federal reserve bank of san francisco working paper.
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