2020
THE SHIFTS IN LEAD-LAG PROPERTIES OF THE U.S. BUSINESS CYCLE
Publication
Publication
Economic Inquiry , Volume 58 - Issue 1 p. 319- 334
We document shifts in the lead-lag properties of the U.S. business cycle since the mid-1980s. Specifically, (1) the well-known inverted leading indicator property of real interest rates has completely vanished; (2) labor productivity switched from positively leading to negatively lagging output and labor inputs over the cycle; and (3) the unemployment rate shifted from lagging productivity negatively to leading positively. Many contemporary business cycle models produce counterfactual cross-correlations revealing that popular frictions and shocks provide an incomplete account of business cycle comovement. Determining the underlying sources of these shifts in the lead-lag properties and their consequences for macroeconomic forecasts is therefore a promising direction for future research. (JEL E24, E32, E43).
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dx.doi.org/10.1111/ecin.12841 | |
Economic Inquiry | |
Organisation | Department of Economics |
Brault, J. (Joshua), & Khan, H.U. (2020). THE SHIFTS IN LEAD-LAG PROPERTIES OF THE U.S. BUSINESS CYCLE. Economic Inquiry, 58(1), 319–334. doi:10.1111/ecin.12841
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