The "stylised facts" of the UK business cycle: a reappraisal
The modern business cycle in the United Kingdom demonstrates a real wage that guides output counter-cyclically and a labor productivity that directs output pro-cyclically under unobserved components (UC) detrending. In contrast, under the Hodrick-Prescott (HP) detrending, real wage and labor productivity are both pro-cyclical with output, occurring at the same time. Moreover, real interest rates direct outputs counter-cyclically under UC and HP detrending. Despite the replication of US business cycle characteristics in the results, however, the synchronism is not conclusive.
Publication Name: Journal of Economic Studies
The role of detrending methods in a model of real business cycles
An examination of the three detrending methods in a real business cycle model reveals that stylized facts of the US economy are sensitive to the detrending method used in real business cycle models. The three detrending approaches are the Hodrick-Prescott (HP) filter, the Beveridge-Nelson filter and the Linear-in-Time filter. The HP filter fails to function as a band-pass filter eliminating low-frequency components and may create artificial cycles if the pre-filtered series is integrated. The potential problem deepens as the degree of integration increases.
Publication Name: Journal of Macroeconomics
On the minimum degree of returns to scale in sunspot models of the business cycle
In single sector models of business cycle with lower increasing returns, the route of indeterminacy does not work by exploiting preferences that are non-separable in consumption and leisure.
Publication Name: Journal of Economic Theory
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