Comments On "Business Cycle Anatomy"

Aug 21 13:08 2019 Print This Article

George-Marios Angeletos, Fabrice Collard, and Harris Dellas released a working paper "Business Cycle Anatomy." They did some econometric analysis to decompose the movements of various economic time series, tying the results to Dynamic Stochastic General Equilibrium (DSGE) theory. I think the paper will be interesting to anyone with an advanced knowledge of economic theory.The article may be of interest to heterodox economists in that it appears to skewer some of the concepts from older DSGE models. The following text from the Abstract provides a teaser:Our findings support the existence of a main business-cycle driver but rule out the following candidates for this role: technology or other shocks that map to TFP [total factor productivity] movements; news about future productivity; and inflationary demand shocks of the textbook type. Prominent members of the DSGE literature also lack the propagation mechanism seen in our anatomy of the data. Models that aim at accommodating demand-driven cycles under flexible prices appear promising. 

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Bond Economics

Bond Economics is about economics and finance, viewed from the point of view of a fixed income quantitative analyst. The site offers commentary about market trends, but does not offer investment advice. The objective is to look at what are the driving forces in the developed economies and markets, looking through the short-term distractions. There are also articles written to explain how to to develop models to analyse economies or fixed income securities. Author, Brian Romanchuck is a consultant and on the Advisory Board of the Global Investment Strategy Institute (link). Previously, he worked at the Caisse de dépôt et placement du Québec from 2006-2013, starting as an analyst and ending as the head of the Fixed Income Quantitative Analysis team. From 1998-2005 he worked at BCA Research, an economic research firm based in Montréal. He has a doctorate in control systems engineering at the University of Cambridge, after a bachelor's in electrical engineering at McGill University. In addition, he held post-doctoral positions at Cambridge and McGill before moving to work in finance.

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