Data and Code for: Business Cycle Anatomy
Principal Investigator(s): View help for Principal Investigator(s) Marios Angeletos, MIT; Fabrice Collard, Toulouse School of Economics; Harris Dellas, University of Bern
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
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| data | 04/25/2020 09:47:AM | ||
| empirics_main_text | 04/25/2020 09:47:AM | ||
| models | 04/25/2020 09:47:AM | ||
| online_appendix | 04/25/2020 09:47:AM | ||
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application/pdf | 323.7 KB | 04/25/2020 05:47:AM |
Project Citation:
Angeletos, Marios, Collard, Fabrice, and Dellas, Harris. Data and Code for: Business Cycle Anatomy. Nashville, TN: American Economic Association [publisher], 2020. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2020-09-24. https://doi.org/10.3886/E118082V1
Project Description
Summary:
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We propose a new strategy for dissecting the macroeconomic time series, provide a template for the business-cycle propagation mech- anism that best describes the data, and use its properties to ap- praise models of both the parsimonious and the medium-scale va- riety. Our findings support the existence of a main business-cycle driver but rule out the following candidates for this role: technology or other shocks that map to TFP movements; news about future productivity; and inflationary demand shocks of the textbook type. Models aimed at accommodating demand-driven cycles without a strict reliance on nominal rigidity appear promising.
Scope of Project
Subject Terms:
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Business Cycle;
VectorAutoregression;
Shocks
JEL Classification:
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C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
E32 Business Fluctuations; Cycles
C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
E32 Business Fluctuations; Cycles
Geographic Coverage:
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United States
Time Period(s):
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1955 – 2017
Methodology
Data Source:
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Federal Reserve Economic Database
Related Publications
Published Versions
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