Autore
Canova, Fabio

Titolo
Detrending and business cycle facts
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1991 - Fascicolo: 58 - Pagina iniziale: 1 - Pagina finale: 49

This paper examines the business cycle properties of a small set of real US macroeconomic time series using a variety of detrending methods. It is shown that (1) important linear summary statistics of US business cycles vary widely across detrending methods, (2) the qualitative response of consumption, investment, hours and productivity to a typical shock in GNP have, depending on the method used, two types of patterns: one consistent with a Real Business Cycle model and one consistent with a NeoKeynesian labour-hoarding story, (3) the gain function of various detrending filters extract different amounts of information at business cycle frequencies, (4) alternative detrending methods provide different characterizations of business cycle turning point dates and (5) regardless of the detrending method used, the seasonal and the cyclical properties of US business cycles differ both qualitatively and quantitatively.



Testo completo: http://hdl.handle.net/1814/397

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