Business cycles in the contemporary world : description, causes, aggregation, and synchronization
著者
書誌事項
Business cycles in the contemporary world : description, causes, aggregation, and synchronization
(Contributions to economics)
Physica-Verlag, c2003
大学図書館所蔵 全7件
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注記
Includes bibliographical references (p. [155]-165)
内容説明・目次
内容説明
The realizationoftheresearch project documented in thisstudy wouldnot have been possible without the kind support and help of several people. I want totaketheopportunitytoexpressmygratitudetothem. Myfirstand foremost thanks go to my thesis supervisor Claude Hillinger. He steadily supported my work with a host of ideas,criticism and encouragement. He has been influential and inspiring in his comments and criticism on alllev- elsofdevelopment ofthisdissertation. My sincerethanksare dueto Ulrich Woitek,teachingmefromtheverybeginninginprogrammingandlettingme participate from his expert knowledgeintimeseriesanalysis. UlrichWoitek and Michael Reiter kindly provided me with software and encouraged me throughoutthe whole dissertation project with their comments and in dis- cussionsduringtheir staysat Munichand via e-mail. Theyhavehelped me totake many hurdles, particularly in the early stages ofthe project. I am indebted tomyco-supervisor Stephan Klasen forhisengagement andopen- minded interest in mythesis. To makethe present work more readable,my friendsin the US,JeanCzerlinskyandRadovanVadovic,madegreat efforts to correct language and style. lowe a great debt of gratitude to them.
I alsothankReginaRiphahnandBurkhardHeer fortheir encouragement and helpful guidance. Special thanksgo to Barbara Dluhosch, JakobdeHaan,Burkhard Heer andGerhardIlling. Astheirteachingassistanttheyallgavemetheresources andnecessaryscopeofdevelopmentformydissertationprojectinastimulat- ingenvironmentattheEconomics DepartmentoftheUniversity ofMunich. Ithank BeatriceDumpertand BrigitteGebhardfor their maternal motiva- tional support and help in administrative matters. Finally, I am indebted to MaximilianFreier for hisreliablesupportand forcross-readingnumerous preliminarydraftsofthethesis. I gratefully acknowledge the Bavarian Young Scientists Grant (Pro- motionsstipendium nach dem Gesetz zur Forderung des bayerischen wis- senschaftlichen Nachwuchses) for financial support during the first years of my dissertation project. Munich,August 2002 BerndSilssmutli Contents 1. Introduction...1 1. 1 BusinessCycle Research:21st CenturyPerspective 1 1. 1. 1 TheClassicView...3 1. 1. 2 From CBC toRBC School...
目次
1. Introduction.- 1.1 Business Cycle Research: 21st Century Perspective.- 1.1.1 The Classic View.- 1.1.2 From CBC to RBC School.- 1.2 Recent Empirical Findings in Favor of CBC.- 1.1.1 Aggregate Investment Fluctuations and Business Cycles.- 1.1.2 The Cyclicality of the Aggregate Investment Series.- 1.1.3 Investment, the RBC View and Disaggregated Dynamics.- I.Methodology.- 2. General Considerations and Historiography.- 2.1 Methodologies: Econometrics vs. Natural Sciences.- 2.2 The Econometric Approach to Time Series Analysis.- 3. The Analysis of Cyclical Dynamics.- 3.1 The Detrending Problem.- 3.2 Volatility and Spectral Analysis.- 3.2.1 Contribution-to-Variance Analysis.- 3.2.2 Spectral Analysis: The Univariate Case.- 3.2.3 The Analysis of Complex Roots.- 3.2.4 Spectral Analysis: The Multivariate Case.- II. National, Supra- and International Cycles.- 4. The G7 and Eurol5 Economies: 1960 - 2000.- 4.1 Data and Strategy.- 4.2 National Uni- and Bivariate Stylized Facts.- 4.2.1 General Salient Facts.- 4.2.2 Robust Univariate Stylized Facts: National Cycles.- 4.2.3 Robust Bivariate Stylized Facts: National Cycles.- 4.3 Supranational Bivariate Stylized Facts.- 5. Mode-Locking and the Global Cycle.- 5.1 Introduction and Motivation of the Discussion.- 5.2 Generalizing Economic Cycles' Mode-Lock Modelling.- 5.3 A Model Incorporating Information Externalities.- 5.1.1 The Model without Information Externalities.- 5.1.2 Introducing Information Externalities.- 5.1.3 Calibration of the Model and Some Simulations.- 5.4 Outlook and Concluding Remark.- III. The Sectoral Constitution of Macro-Cycles.- 6. An Aggregation Problem for Linear Models?.- 6.1 Description of US Business Cycles.- 6.1.1 Business Cycles in Central US NIPA Time Series.- 6.1.2 Cycles in Disaggregated US Manufacturing Investment.- 6.2 Testing Autoregressivity and Aggregate Feedback.- 6.3 Linear Models of the Aggregation Process.- 6.4 Evaluation of Linear Models.- 7. The Synchronization of Sectoral Cycles.- 7.1 Definitions of Synchronization.- 7.2 A Recent Approach: Method and Findings.- 7.3 The "Shift-Win"-Approach: Method and Findings.- 8. A Non-Linear Synchronization Model.- 8.1 Theoretical Underpinning of the Model.- 8.1.1 The Medium-Term Investment Objective: Smoothing.- 8.1.2 The Short-Term Investment Objective: Herding.- 8.1.3 The Integrated Model: Smoothing and Herding.- 8.1.4 The Synchronization Mechanism.- 8.2 A Thorough Simulation Study.- 8.2.1 Calibration as an Alternative to Estimation.- 8.2.2 Setting Up the Simulation Strategy and Determining Priors.- 8.2.3. Monte Carlo Simulations of the Model Incorporating Shocks.- 8.2.4 Evaluation of the Model and Outlook.- 9. Conclusion.- Abbreviations.- References.
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