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The U.S. business cycle, 1867–2006: a dynamic factor approach

Ritschl, Albrecht, Sarferaz, Samad and Uebele, Martin (2016) The U.S. business cycle, 1867–2006: a dynamic factor approach. Review of Economics and Statistics, 98 (1). pp. 159-172. ISSN 0034-6535

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Identification Number: 10.1162/REST_a_00530


We estimate a Stock/Watson index of economic activity to assess U.S. business cycle volatility since 1867. We replicate the Great Moderation of the 1980s and 1990s and find exceptionally low volatility also in the Golden Age of the 1960s. Postwar moderation relative to pre-1914 occurs under constant but not time-varying factor loadings, suggesting structural change toward more volatile sectors. For comparable series, the U.S. postwar business cycle was as volatile overall as under the Classical Gold Standard, but much less so during the Great Moderation and the Golden Age.

Item Type: Article
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Additional Information: © 2016 The President and Fellows of Harvard College and the Massachusetts Institute of Technology
Divisions: Economic History
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 11 Aug 2016 10:29
Last Modified: 16 May 2024 02:19

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