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Activity Number:
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194
- Time Series in Federal Statistics
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Type:
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Topic Contributed
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Date/Time:
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Monday, August 8, 2022 : 2:00 PM to 3:50 PM
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Sponsor:
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Government Statistics Section
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Abstract #322677
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Title:
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Business Cycle Fluctuations in the U.S. Real GDP and NIPA Aggregates
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Author(s):
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Baoline Chen* and Kyle Hood and Tucker McElroy and Thomas Trimbur
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Companies:
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Bureau of Economic Analysis and U.S. Bureau of Economic Analysis and U.S. Census Bureau and U.S. Census Bureau
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Keywords:
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Model-based band-pass filters;
Business cycle analysis;
Structural time series modeling
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Abstract:
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This paper provides a new set of empirical regularities describing the U.S. macroeconomy, focusing on business cycle fluctuations in real GDP and eleven major aggregates from the National Income and Product Accounts (NIPAs). The business cycle patterns are assessed using filtering methodologies that adapt to the properties of the series being studied and avoid creating artificial cycles or other spurious findings that are routine by-products of techniques like the ideal filter. We employ a recent dataset that includes the great recession caused by the 2008 financial crisis and the ensuing recovery. We aim to 1) examine cross-correlations between the aggregate cycle in real GDP and the cyclical fluctuations in the major NIPA aggregates; 2) investigate linkage econometrically by way of Granger-causality tests applied to the cyclical component of real GDP and that of the NIPA aggregates; and 3) evaluate via three forecasting models the ability of each NIPA aggregate to forecast real GDP growth. Comparisons are made with popular nonparametric filters.
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Authors who are presenting talks have a * after their name.
