Abstract
We propose a procedure for representing a time series as the sum of a smoothly varying trend component and a cyclical component. We document the nature of the comovements of the cyclical components of a variety of macroeconomic time series. We find that these comovements are very different than the corresponding comovements of the slowly varying trend components.
| Original language | English |
|---|---|
| Pages (from-to) | 1-16 |
| Number of pages | 16 |
| Journal | Journal of Money, Credit and Banking |
| Volume | 29 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - Feb 1 1997 |
ASJC Scopus Subject Areas
- Accounting
- Finance
- Economics and Econometrics
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Hodrick, R. J., & Prescott, E. C. (1997). Postwar U.S business cycles: An empirical investigation. Journal of Money, Credit and Banking, 29(1), 1-16. https://doi.org/10.2307/2953682