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

Authors

Andreas Groth, Geosciences Department, Ecole Normale Supérieure, Paris, France, Environmental Research & Teaching Institute, Ecole Normale Supérieure, Paris, FranceFollow
Michael Ghil, Geosciences Department, Ecole Normale Supérieure, Paris, France, Environmental Research & Teaching Institute, Ecole Normale Supérieure, Paris, France Department of Atmospheric & Oceanic Sciences and Institute of Geophysics & Planetary Physics, University of California, Los Angeles, USA
Stéphane Hallegatte, Centre International de Recherche sur l'Environnement et le Développement, Nogent-sur-Marne, France, Ecole Nationale de la Météorologie, Météo France, Toulouse, France
Patrice Dumas, Centre International de Recherche sur l'Environnement et le Développement, Nogent-sur-Marne, France

Date of This Version

May 2012

Abstract

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.

Recommended Citation

Groth, Andreas; Ghil, Michael; Hallegatte, Stéphane; and Dumas, Patrice, "The Role of Oscillatory Modes in U.S. Business Cycles" (May 30, 2012). Fondazione Eni Enrico Mattei Working Papers. Paper 677.
https://services.bepress.com/feem/paper677