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The U.S. business cycle, 1867-1995: dynamic factor analysis vs. reconstructed national accounts
Ritschl, Albrecht; Sarferaz, Samad; Uebele, Martin - 2008
This paper presents insights on U.S. business cycle volatility since 1867 de- rived from diffusion indices. We employ a … volatility across World War I, which is reversed after World War II. While we can generate evidence of postwar moderation … for World War II where they support alternative estimates of Kuznets (1952). -- U.S. business cycle ; volatility ; dynamic …
Persistent link: https://www.econbiz.de/10003796122
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The U.S. Business Cycle, 1867-1995: A Dynamic Factor Approach
Ritschl, Albrecht; Sarferaz, Samad; Uebele, Martin - C.E.P.R. Discussion Papers - 2008
This paper reexamines U.S. business cycle volatility since 1867. We employ dynamic factor analysis as an alternative to … reconstructed national accounts. We find a remarkable volatility increase across World War I, which is reversed after World War II …
Persistent link: https://www.econbiz.de/10005504432
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The U.S. Business Cycle, 1867-1995: Dynamic Factor Analysis vs. Reconstructed National Accounts
Ritschl, Albrecht; Sarferaz, Samad; Uebele, Martin - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
This paper presents insights on U.S. business cycle volatility since 1867 de- rived from diffusion indices. We employ a … volatility across World War I, which is reversed after World War II. While we can generate evidence of postwar moderation …
Persistent link: https://www.econbiz.de/10005678012
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Time-Frequency Relationship between U.S. Output with Commodity and Asset Prices
Tiwari, Aviral K.; Albulescu, Claudiu T.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015
Commodity and asset prices have a well-documented effect on economic growth, manifested through various channels. At the same time, the business cycle influences the commodity and asset prices. Whereas empirical evidence on the effect of commodity and asset prices on the long-run economic growth...
Persistent link: https://www.econbiz.de/10011267816
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Degrees of Processing and Changes in the Cyclical Behavior of Prices in the United States, 1869-1990
Hanes, Christopher - 1999
Price indices for periods before the Second World War place more weight on less-processed products than do their post-war counterparts, to an extent that exaggerates the change over time in the composition of aggregate output. Prices of less-processed products are especially procyclical in...
Persistent link: https://www.econbiz.de/10014215902
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Market sentiment, financial fragility, and economic activity : the role of corporate securities issuance
Dieckelmann, Daniel - 2021
Using new quarterly U.S. data for the past 120 years, I show that sudden reversals in equity and credit market sentiment approximated by several measures of corporate securities issuance are highly predictive of banking crises and recessions. Deviations in equity issuance from historical...
Persistent link: https://www.econbiz.de/10012431742
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Was the U.S. Great Depression a Credit Boom Gone Wrong?
Postel-Vinay, Natacha - 2020
The US Great Depression was preceded by almost a decade of credit growth. This review paper suggests that the 1920s credit boom went through two phases: one, up to around 1927, when credit grew in concert with money; another one, from around 1928 to 1929, when credit grew faster than money....
Persistent link: https://www.econbiz.de/10012848726
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Oil price uncertainty and the business cycle : accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework
Thiem, Christopher - 2017
volatility as well as the U.S. economy. We find that - even after accounting for these factors - oil price uncertainty still has … confirms these results. Finally, significant spillover effects in the GARCH model suggest that oil price volatility is a gauge …Dieser Beitrag untersucht den Einfluss von Ölpreisunsicherheit auf die Wirtschaftsaktivität der USA mit Hilfe eines VAR …
Persistent link: https://www.econbiz.de/10011608019
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Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...
Persistent link: https://www.econbiz.de/10010532582
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The US bsiness cycle, 1867 - 1995 : dynamic factor analysis vs. reconstructed national accounts
Ritschl, Albrecht; Sarferaz, Samad; Uebele, Martin - 2008
Persistent link: https://www.econbiz.de/10003942580