POSTWAR US BUSINESS CYCLES - AN EMPIRICAL-INVESTIGATION

Citation
Rj. Hodrick et Ec. Prescott, POSTWAR US BUSINESS CYCLES - AN EMPIRICAL-INVESTIGATION, Journal of money, credit and banking, 29(1), 1997, pp. 1-16
Citations number
18
Categorie Soggetti
Business Finance
ISSN journal
00222879
Volume
29
Issue
1
Year of publication
1997
Pages
1 - 16
Database
ISI
SICI code
0022-2879(1997)29:1<1:PUBC-A>2.0.ZU;2-6
Abstract
We propose a procedure for representing a time series as the sum of a smoothly varying trend component and a cyclical component. We document the nature of the comovements of the cyclical components of a variety of macroeconomic time series. We find that these comovements are very different than the corresponding comovements of the slowly varying tr end components.