Measuring and interpreting business cycles

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Weitere Verfasser: Bergström, Villy (HerausgeberIn)
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Sprache:German
Veröffentlicht: Oxford [u.a.] Clarendon Press 1994
Schriftenreihe:FIEF studies in labour markets and economic policy
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Datensatz im Suchindex

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adam_text Contents List of Figures vii List of Tables viii Introduction VIIXY BERGSTROM AND ANDERS VREDIN 1 Part I: The Swedish Business Cycle: Stylized Facts over 130 Years JOHN HASSLER, PETTER LUNDV1K, TORSTEN PERSSON, PAUL SODERLIND 9 1. Introduction 11 2. Data 14 3. What are Business Cycles? 18 4. Broad Facts for Sweden, 1861 1988 31 5. Narrow Facts 64 6. Concluding Comments 85 Appendix I.I Data Sources and Definitions 90 Appendix 1.2 Filters and Frequency Domain Statistics 97 Appendix 1.3 Statistical Inference on Filtered Data 105 7. Comment KLAUS NEUSSER 109 8. Comment ERLING STEIGUM H4 References to Part I I19 vi Contents Part II: Macroeconomic Shocks in an Open Economy: A Common Trends Representation of Swedish Data, 1871 1990 PETER ENGLUND, ANDERS VREDIN, ANDERS WARNE 125 9. Introduction 127 10. Vector Autoregressions 131 11. Common Trends Models of Macroeconomic Fluctuations 136 12. Examples 149 13. Data Description 156 14. Impulses and Propagation Mechanisms in Sweden 172 15. What Can We Learn about Business Cycles from VAR Models? 193 16. Comment DANNY QUAH 195 17. Comment MICHAEL BERGMAN 214 References for Part II 219 Part III: Expectations Driven, Non Linear Business Cycles 225 JEAN MICHEL GRANDMONT 18. Expectations Driven, Non Linear Business Cycles 227 19. Comment 256 SEPPO HONKAPOHJA References for Part III 263 Index 267 List of Figures 3.1 Comparison of Different Filters 20 3.2 Cyclical Components from Different Filters 26 3.3 Frequency Domain Statistics 29 4.1 4.5 Cyclical Components 32 4.6 4.10 Standard Deviation of Cyclical Components 45 4.11 4.15 Correlation with Current Business Cycle Indicator 51 5.1 Coherence of Foreign Demand and Swedish Output 76 5.2 Coherence of Foreign Demand and Swedish Exports 77 5.3 Coherence of Foreign Demand and Swedish Manufacturing 77 6.1 Relative Importance of Business Cycles 89 12.1 Gain and Phase of Different Filters 101 13.1 Time Series used in Empirical Analyses 159 13.2 Detrended Price and Money Series 165 13.3 Cointegration Relations: Unrestricted Model 171 14.1 CointegTation Relations: Restricted Model 176 14.2 Responses to a Foreign Real Shock 179 14.3 Responses to a Domestic Real Shock 180 14.4 Responses to a Permanent Nominal Shock 181 14.5 Responses to a Domestic Demand Shock 186 14.6 Responses to a Domestic Policy Shock 187 14.7 Responses to a Foreign Demand Shock 188 18.1 18.9 232 55 List of Tables 3.1 Correlations with GDP 27 4.1 General Statistics 37 4.2 Contemporaneous Correlation Matrix, Full Sample 39 4.3 Contemporaneous Correlation Matrix, Pre War 40 4.4 Contemporaneous Correlation Matrix, Inter War 41 4.5 Contemporaneous Correlation Matrix, Post War 42 4.6 Standard Deviations for Sub Samples 43 4.7 Correlations for Sub Samples 44 4.8 Comparisons between Different Filters 62 5.1 Granger Causality Tests for Money on Real GDP 67 5.2 Neutrality Tests for Money on Real GDP 67 5.3 Granger Causality Tests for Money on Prices 69 5.4 Independence Tests for Real Wages and Employment 72 5.5a Correlations with Foreign Demand 75 5.5b Correlations with Swedish Exports 78 5.6 VAR Equation for Exports 19 5.7 VAR Equation for Export Prices 80 5.8 Correlations with Current Account 81 5.9 Skewness and Medians 83 6.1 Relative Importance of Business Cycle Frequencies 88 13.1 Tests for Unit Roots, 1878 1990 164 13.2 Correlation Coefficients with GDP (Ay) and the Price Level (Ap) 166 13.3 Lag Order Determination and Residual Analysis 168 13.4 Tests for Cointegration 169 14.1 Estimated Cointegration Vectors under Nominal Neutrality Restrictions and Residual Analysis 175 14.2 Estimated Common Trends Model for Sweden, 1876 1990 177 14.3 Ratio of k Steps Ahead Forecast Error Variance of x, which is accounted for by Permanent and Transitory Shocks 178 List of Tables ix 14.4 Ratio of k Steps Ahead Forecast Error Variance of xt which is accounted for by Shocks to the Foreign Real Trend 182 14.5 Ratio of k Steps Ahead Forecast Error Variance of x, which is accounted for by Shocks to the Domestic Real Trend 183 14.6 Ratio of k Steps Ahead Forecast Error Variance of xt which is accounted for by Shocks to the Nominal Trend 184 14.7 Estimated « Coefficients 185 14.8 Ratio of k Steps Ahead Forecast Error Variance of x, which is accounted for by the Domestic Demand Shock 189 14.9 Ratio of k Steps Ahead Forecast Error Variance of x, which is accounted for by the Domestic Policy Shock 190 14.10 Ratio of k Steps Ahead Forecast Error Variance of x, which is accounted for by the Foreign Demand Shock 191
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series2 FIEF studies in labour markets and economic policy
spelling Measuring and interpreting business cycles ed. by Villy Bergström ...
Oxford [u.a.] Clarendon Press 1994
IX, 273 S. graph. Darst.
txt rdacontent
n rdamedia
nc rdacarrier
FIEF studies in labour markets and economic policy
Geschichte 1861-1990 gnd rswk-swf
Konjunkturteori
Konjunkturväxlingar - Sverige - 1861-1988 sao
Konjunkturzyklus (DE-588)4032134-4 gnd rswk-swf
Schweden (DE-588)4077258-5 gnd rswk-swf
Konjunkturzyklus (DE-588)4032134-4 s
Schweden (DE-588)4077258-5 g
DE-604
Geschichte 1861-1990 z
Bergström, Villy edt
HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006610655&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle Measuring and interpreting business cycles
Konjunkturteori
Konjunkturväxlingar - Sverige - 1861-1988 sao
Konjunkturzyklus (DE-588)4032134-4 gnd
subject_GND (DE-588)4032134-4
(DE-588)4077258-5
title Measuring and interpreting business cycles
title_auth Measuring and interpreting business cycles
title_exact_search Measuring and interpreting business cycles
title_full Measuring and interpreting business cycles ed. by Villy Bergström ...
title_fullStr Measuring and interpreting business cycles ed. by Villy Bergström ...
title_full_unstemmed Measuring and interpreting business cycles ed. by Villy Bergström ...
title_short Measuring and interpreting business cycles
title_sort measuring and interpreting business cycles
topic Konjunkturteori
Konjunkturväxlingar - Sverige - 1861-1988 sao
Konjunkturzyklus (DE-588)4032134-4 gnd
topic_facet Konjunkturteori
Konjunkturväxlingar - Sverige - 1861-1988
Konjunkturzyklus
Schweden
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