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- Title
THE SHIFTS IN LEAD‐LAG PROPERTIES OF THE U.S. BUSINESS CYCLE.
- Authors
Brault, Joshua; Khan, Hashmat
- Abstract
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.
- Subjects
UNITED States; BUSINESS cycles; INTEREST rates; MACROECONOMICS; FUTURES studies; UNEMPLOYMENT statistics
- Publication
Economic Inquiry, 2020, Vol 58, Issue 1, p319
- ISSN
0095-2583
- Publication type
Article
- DOI
10.1111/ecin.12841