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The U.S. business cycle, 1867-1995: dynamic factor analysis vs. reconstructed national accounts

Ritschl, Albrecht, Sarferaz, Samad and Uebele, Martin (2008) The U.S. business cycle, 1867-1995: dynamic factor analysis vs. reconstructed national accounts. Economic History Working Papers (112/08). Department of Economic History, London School of Economics and Political Science, London, UK.

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This paper presents insights on U.S. business cycle volatility since 1867 derived from diffusion indices. We employ a Bayesian dynamic factor model to obtain aggregate and sectoral economic activity indices. We find a remarkable increase in volatility across World War I, which is reversed after World War II. While we can generate evidence of postwar moderation relative to pre-1914, this evidence is not robust to structural change, implemented by time-varying factor loadings. We do find evidence of moderation in the nominal series, however, and reproduce the standard result of moderation since the 1980s. Our estimates broadly confirm the NBER historical business cycle chronology as well the National Income and Product Accounts, except for World War II where they support alternative estimates of Kuznets (1952).

Item Type: Monograph (Working Paper)
Official URL:
Additional Information: © 2008 Albrecht Ritschl, Samad Sarferaz & Martin Uebele
Divisions: Economic History
Subjects: H Social Sciences > HC Economic History and Conditions
E History America > E11 America (General)
Sets: Departments > Economic History
Collections > Economists Online
Date Deposited: 29 Jan 2009 18:33
Last Modified: 17 Dec 2020 00:53

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