Business-Cycle Anatomy
George-Marios Angeletos, Fabrice Collard, Harris Dellas
American Economic Review · 2020 · Volume 110 · Issue 10
Abstract
We propose a new strategy for dissecting the macroeconomic time series, provide a template for the business-cycle propagation mechanism that best describes the data, and use its properties to appraise models of both the parsimonious and the medium-scale variety. Our findings support the existence of a main business-cycle driver but rule out the following candidates for this role: technology or other shocks that map to TFP movements; news about future productivity; and inflationary demand shocks of the textbook type. Models aimed at accommodating demand-driven cycles without a strict reliance on nominal rigidity appear promising.
Keywords
Single Equation Models, Single Variables: Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes, General Aggregative Models: General, Business Fluctuations, Cycles
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