Examining similarities among phases of business cycles: is the 1990's US expansion similar to the 1960's?

Layton, Allan P. and Katsuura, Masaki (2001) Examining similarities among phases of business cycles: is the 1990's US expansion similar to the 1960's? Journal of the Japan Statistical Society, 31 (2). pp. 129-152. ISSN 1882-2754

Abstract

Statistical similarities among the latest long expansion in the U.S. and some other past expansions, in particular that of the 1960s, are examined. Corresponding to the definition of statistical similarity, a test based on the covariance matrices of business cycle component variables for the different expansions is proposed. Among available tests, the test based on partial common principal component analysis is argued to be most appropriate. The test is applied to the components of both GDP and the coincident composite index. As a result, the 1990s expansion is concluded to be statistically similar to that of the 1960s. Using the same method we also examine the statistical similarities of whole cycles (defined on a peak-tepeak basis).


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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Depositing User: Mrs Annette Bourne
Faculty / Department / School: Historic - Faculty of Business - No Department
Date Deposited: 11 Oct 2007 01:19
Last Modified: 02 Jul 2013 22:49
Uncontrolled Keywords: business cycle; statistical similarity; covariance matrix structure; composite index; partial common principal component analysis
Fields of Research (FOR2008): 14 Economics > 1402 Applied Economics > 140203 Economic History
14 Economics > 1402 Applied Economics > 140212 Macroeconomics (incl. Monetary and Fiscal Theory)
14 Economics > 1402 Applied Economics > 140207 Financial Economics
Socio-Economic Objective (SEO2008): E Expanding Knowledge > 97 Expanding Knowledge > 970114 Expanding Knowledge in Economics
URI: http://eprints.usq.edu.au/id/eprint/3037

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