Business Cycles: Model versus Data

Thijs van Rens

CREI, Universitat Pompeu Fabra and Barcelona GSE

Advanced Macro II

April 24, 2012

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Model predictions

Predictions RBC model

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IRF of the RBC model

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BC statistics simulated data from the RBC model

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Characterizing Business Cycles

What are business cycles?

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Filtering

Stock and Watson (1999)

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Filtering

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Filtering

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Filtering

King and Rebelo (1999)

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Filtering

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Filtering

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Filtering

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Filtering

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BC facts

Comovement variables over the BC

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Stock and Watson (1999)Thijs van Rens (CREI, UPF & BGSE) Advanced Macro II April 24, 2012 17 / 53

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Romer fact #1: BC unequally spaced and sized

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Romer fact #2: patterns BC di¤erent from growth

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Romer fact #3: BC asymmetric

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Summarizing the BC facts (Romer)

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Summarizing the BC facts (Stock and Watson)

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Summarizing the BC facts (King and Rebelo)

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Changes in BC facts

Stock and Watson (2002). Has the Business Cycle Changed and Why?Thijs van Rens (CREI, UPF & BGSE) Advanced Macro II April 24, 2012 35 / 53

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Stock and Watson (2002)Thijs van Rens (CREI, UPF & BGSE) Advanced Macro II April 24, 2012 38 / 53

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Galí and van Rens

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Back to the model

Can model match the facts?

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Calibration

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Galí (1999)

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