期刊名称：Bank of Finland Research Discussion Papers (früher: Bank of Finland Discussion Papers)
印刷版ISSN：0785-3572
电子版ISSN：1456-6184
出版年度：2011
卷号：2011
出版社：Suomen Pankki = Bank of Finland
摘要：In this paper the relationship between the growth of real GDP components is explored in the frequency domain using both static and dynamic wavelet analysis. This analysis is carried out separately for the US and UK using quarterly data, and the results are found to be substantially different for the two countries. One of the key findings of this research is that the ‘great moderation’ shows up only at certain frequencies, and not in all components of real GDP. We use these results to explain why the incidence of the great moderation has been so patchy across GDP components, countries and time periods. This also explains why it has been so hard to detect periods of moderation (or other periods) reliably in the aggregate data. We argue this cannot be done without separating the GDP components into their frequency components over time. Our results show why: the predictions of traditional real business cycle theory often appear not to be upheld in the data.
关键词：business cycles, growth cycles, discrete wavelet analysis, US real GDP, UK real GDP, C49, E20, E32, Patrick M Crowley, Andrew Hughes Hallett
