arXiv 26 Oct 2020 · Econometrics · publishedJournal of Econometrics (2024) · 1 citations (OpenAlex)
arXiv:2010.13877 · PDF · DOI · OpenAlex · Extracted main text
Recurrent boom-and-bust cycles are a salient feature of economic and financial history. Cycles found in the data are stochastic, often highly persistent, and span substantial fractions of the sample size. We refer to such cycles as "long". In this paper, we develop a novel approach to modeling cyclical behavior specifically designed to capture long cycles. We show that existing inferential procedures may produce misleading results in the presence of long cycles, and propose a new econometric procedure for the inference on the cycle length. Our procedure is asymptotically valid regardless of the cycle length. We apply our methodology to a set of macroeconomic and financial variables for the U.S. We find evidence of long stochastic cycles in the standard business cycle variables, as well as in credit and house prices. However, we rule out the presence of stochastic cycles in asset market data. Moreover, according to our result, financial cycles as characterized by credit and house prices tend to be twice as long as business cycles.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Sargent, T. J (1987) Macroeconomic Theory, 2nd Edition | 0.693 | 6 | 1 | 100% |
| 2 | Hansen, B. E (1999) The grid bootstrap and the autoregressive model | 0.644 | 5 | 1 | 80% |
| 3 | Harvey, A. C (1985) Trends and cycles in macroeconomic time series | 0.644 | 4 | 1 | 100% |
| 4 | Andrews, D. W. K., Cheng, X., Guggenberger, P (2020) Generic results for establishing the asymptotic size of confidence sets and tests | 0.644 | 4 | 1 | 100% |
| 5 | Phillips, P. C. B (1987) Towards a unified asymptotic theory for autoregression | 0.638 | 9 | 1 | 78% |
| 6 | Drehmann, M., Borio, C. E., Tsatsaronis, K (2012) Characterising the financial cycle: don't lose sight of the medium term!, bIS working paper | 0.585 | 3 | 1 | 100% |
| 7 | Beaudry, P., Galizia, D., Portier, F (2020) Putting the cycle back into business cycle analysis | 0.585 | 3 | 1 | 100% |
| 8 | Gregoir, S (2006) Efficient tests for the presence of a pair of complex conjugate unit roots in real time series | 0.585 | 3 | 1 | 100% |
| 9 | Perron, P., Ng, S (1996) Useful modifications to some unit root tests with dependent errors and their local asymptotic properties | 0.585 | 3 | 1 | 100% |
| 10 | Phillips, P. C. B (1988) Regression theory for near-integrated time series | 0.585 | 3 | 1 | 100% |
Showing the top 10 of 34 scored citations.