Business Cycle Fluctuations in U.S. Macroeconomic Time Series

James H. Stock, Mark W. Watson

NBER Working Paper No. 6528
Issued in April 1998
NBER Program(s):Economic Fluctuations and Growth Program, The Monetary Economics Program

This paper examines the empirical relationship in the postwar United States between the aggregate business cycle and various aspects of the macroeconomy, such as production, interest rates, prices, productivity, sectoral employment, investment, income, and consumption. This is done by examining the strength of the relationship between the aggregate cycle and the cyclical components of individual time series, whether individual series lead or lag the cycle, and whether individual series are useful in predicting aggregate fluctuations. The paper also reviews some additional empirical regularities in the U.S. economy, including the Phillips curve and some long-run relationships, in particular long-run money demand, long-run properties of interest rates and the yield curve, and the long-run properties of the shares in output of consumption, investment and government spending.

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Document Object Identifier (DOI): 10.3386/w6528

Published:

• Published as "Evidence on Structural Instability in Macroeconomic Time Series Relations", JBES, Vol. 14, no. 1 (January 1996): 11-30.
• Stock, James H. & Watson, Mark W., 1999. "Business cycle fluctuations in us macroeconomic time series," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 1, pages 3-64 Elsevier.

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