Measuring Business Cycle Time

The results reported under the heading "Levels" are based on, using the nominal interest rate, inflation, and log real per capita income and money

James H. Stock


Scholarcy highlights

  • The theoretical perspectives of modern research programs that examine fluctuations in output, employment, investment, and prices differ greatly, these programs share the econometric assumption that macroeconomic variables evolve naturally on a fixed calendar time scale
  • This modern view stands in sharp contrast to the traditional business cycle analysis of Burns and Mitchell and the National Bureau of Economic Research
  • The tests are based on the time scale transformation, addressing the possibility that economic time depends on whether the economy is in a growth expansion or a growth contraction
  • This paper has used classical statistical techniques to estimate nonlinear time scale transformations of the general form, in which the time transformations depend on the history of the process
  • The cyclical measures can have an effect in determining the time scale transformations for some macroeconomic variables
  • This effect diminishes or disappears when more general time scale transformations are considered

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