Measuring business cycles by saving for a rainy day
By: Mario J. Crucini, Mototsugu Shintani
Contributors: Shintani, Mototsugu; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16075; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16075.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "We propose a simple saving-based measure of the cyclical component in GDP.  The measure is motivated by the prediction that the represenative consumer changes savings in response to temporary deviations of income from its stochastic trend, while satisfying a present-value budget constraint.  To evaluate our procedure, we employ the bivariate error correction model of Cochrane (1994) to the member countries of the G-7 and Australia.  Our estimates reveal, that to a close approximation, the stochastic trend component of GDP is consumption and the transitory component is the error correction term, which justifies the use of our saving-based measure"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/24/2010.

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