Business cycles and growth cycles should not be mixed or confused, as is unfortunately often the case in discussions of economic growth. This paper compares various approaches to time series decomposition for the analysis of business cycles and growth cycles as related but separate phenomena. We...

This paper shows that unexpected stock returns must be associated with changes in expected future dividends or expected future returns A vector autoregressive method is used to break unexpected stock returns into these two components. In U.S. monthly data in 1927-88, one-third of the variance of...