The Role of Oscillatory Modes in U.S. Business Cycles

A. Groth , Michael Ghil , Stéphane Hallegatte (1, 2) , Patrice Dumas (3)

1 CIRED - centre international de recherche sur l'environnement et le développement
2 CNRM - Centre national de recherches météorologiques
3 Cirad - Centre de Coopération Internationale en Recherche Agronomique pour le Développement

Mots clés: business cycle dynamics

Domaines: Sciences de l'environnement; Economies et finances

A. Groth, Michael Ghil, Stéphane Hallegatte, Patrice Dumas. The Role of Oscillatory Modes in U.S. Business Cycles: We apply the advanced time-and-frequency-domain method of singular spectrum analysis to study business cycle dynamics in a set of nine U.S. macroeconomic indicators. This method provides a robust way to identify and reconstruct shared oscillations, whether intermittent or modulated. We address the problem of spurious cycles generated by the use of detrending filters and present a Monte Carlo test to extract significant oscillations. Finally, we demonstrate that the behavior of the U.S. economy changes significantly between episodes of growth and recession; these variations cannot be generated by random shocks alone, in the absence of endogenous variability. http://www.feem.it/userfiles/attach/20125101548154NDL2012-026.pdf. FEEM Working Paper, 2012, 2012.026. ⟨hal-00802052⟩