thijs van rens crei, universitat pompeu fabra and
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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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