Premium
Cyclical properties of a real business cycle model
Author(s) -
Söderlind Paul
Publication year - 1994
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.3950090507
Subject(s) - business cycle , macro , econometrics , sample (material) , phase (matter) , economics , computer science , keynesian economics , physics , thermodynamics , quantum mechanics , programming language
This paper tests the well‐known real business cycle model of Kydland and Prescott (1988), using spectral methods for linear filters. Model spectra, coherencies, phase shifts, and correlations are tested against US post‐war data using both asymptotic and small‐sample distributions. Compared with the model, the data have shorter business cycles, smaller co‐movements of different macro variables, and less of a leading role for output.