ISBN: 3790815322
TITLE: Contributions to Economics
AUTHOR: Sssmuth
TOC:

1. Introduction 1
1.1 Business Cycle Research: 21st Century Perspective 1
1.1.1 The Classic View 3
1.1.2 From CBC to RBC School 4
1.2 Recent Empirical Findings in Favor of CBC 4
1.2.1 Aggregate Investment Fluctuations and Business Cycles 4
1.2.2 The Cyclicality of the Aggregate Investment Series 5
1.2.3 Investment, the RBC View and Disaggregated Dynamics 6
Part I. Methodology
2. General Considerations and Historiography 11
2.1 Methodologies: Econometrics vs. Natural Sciences 11
2.2 The Econometric Approach to Time Series Analysis 13
3. The Analysis of Cyclical Dynamics 15
3.1 The Detrending Problem 16
3.2 Volatility and Spectral Analysis 20
3.2.1 Contribution-to-Variance Analysis 20
3.2.2 Spectral Analysis: The Univariate Case 21
3.2.3 The Analysis of Complex Roots 27
3.2.4 Spectral Analysis: The Multivariate Case 31
Part II. National, Supra- and International Cycles
4. The G7 and Euro15 Economies: 1960 - 2000 35
4.1 Data and Strategy 35
4.2 National Uni- and Bivariate Stylized Facts 37
4.2.1 General Salient Facts 38
4.2.2 Robust Univariate Stylized Facts: National Cycles 42
4.2.3 Robust Bivariate Stylized Facts: National Cycles 43
4.3 Supranational Bivariate Stylized Facts 47
5. Mode-Locking and the Global Cycle 69
5.1 Introduction and Motivation of the Discussion 70
5.2 Generalizing Economic Cycles' Mode-Lock Modelling 72
5.3 A Model Incorporating Information Externalities 75
5.3.1 The Model without Information Externalities 75
5.3.2 Introducing Information Externalities 79
5.3.3 Calibration of the Model and Some Simulations 81
5.4 Outlook and Concluding Remark 88
Part III. The Sectoral Constitution of Macro-Cycles
6. An Aggregation Problem for Linear Models? 91
6.1 Description of US Business Cycles 92
6.1.1 Business Cycles in Central US NIPA Time Series 92
6.1.2 Cycles in Disaggregated US Manufacturing Investment 95
6.2 Testing Autoregressivity and Aggregate Feedback 100
6.3 Linear Models of the Aggregation Process 102
6.4 Evaluation of Linear Models 107
7. The Synchronization of Sectoral Cycles 109
7.1 Definitions of Synchronization 109
7.2 A Recent Approach: Method and Findings 111
7.3 The "Shift-Win"-Approach: Method and Findings 117
8. A Non-Linear Synchronization Model 123
8.1 Theoretical Underpinning of the Model 124
8.1.1 The Medium-Term Investment Objective: Smoothing 124
8.1.2 The Short-Term Investment Objective: Herding 126
8.1.3 The Integrated Model: Smoothing and Herding 128
8.1.4 The Synchronization Mechanism 132
8.2 A Thorough Simulation Study 134
8.2.1 Calibration as an Alternative to Estimation 134
8.2.2 Setting Up the Simulation Strategy and Determining Priors 136
8.2.3 Monte Carlo Simulations of the Model Incorporating Shocks 138
8.2.4 Evaluation of the Model and Outlook 141
9. Conclusion 149
Abbreviations 153
References 155
END
