A fractal comparison of real and Austrian business cycle models

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 11, 2010, Pages 2244-2267

  Mulligan, Robert F ^a  

^a WESTERN CAROLINA UNIVERSITY   (United States)

Author keywords

Antipersistence; Austrian business cycle model; Fractal analysis; Hurst exponent; Long memory; Macromonetary aggregates; Real business cycle model

Indexed keywords

AGGREGATES; FRACTALS; PRODUCTIVITY; SPECTRAL DENSITY; STOCHASTIC SYSTEMS;

ANTI PERSISTENCES; BUSINESS CYCLES; FRACTAL ANALYSIS; HURST EXPONENTS; LONG MEMORY;

ECONOMICS;

EID: 77949568235     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.02.006     Document Type: Article

References (34)

1. Odets C. Waiting for Lefty (1935), Modern Library, New York Reprinted (1939) in Six Plays of Clifford Odets
2. Hurst H.E. Long-term storage capacity of reservoirs. Transactions of the American Society of Civil Engineers 116 (1951) 770-799
3. Mandelbrot B.B. New methods in statistical economics. Journal of Political Economy 71 5 (1963) 421-440
4. Mandelbrot B.B. The variation of certain speculative prices. Journal of Business 36 3 (1963) 394-419
5. Mandelbrot B.B. Statistical methodology for non-periodic cycles: From the covariance to R/S analysis. Annals of Economic and Social Measurement 1 3 (1972) 255-290
6. Mandelbrot B.B. Possible refinements of the lognormal hypothesis concerning the distribution of energy dissipation in intermittent turbulence. In: Rosenblatt M., and Van Atta C. (Eds). Statistical Models and Turbulence (1972), Springer Verlag, New York
7. Mandelbrot B.B. Intermittent turbulence in self similar cascades: Divergence of high moments and dimension of the carrier. Journal of Fluid Mechanics 62 (1974) 331-358
8. Mandelbrot B.B., and van Ness J.W. Fractional Brownian motion, fractional noises and application. SIAM Review 10 (1968) 422-437
9. Mandelbrot B.B., and Wallis J.R. Robustness of the rescaled range R/S in the measurement of noncyclic long-run statistical dependence. Water Resources Research 5 4 (1969) 976-988
10. Kydland F.E., and Prescott E.C. Time to build and aggregate fluctuations. Econometrica 50 (1982) 1345-1370
11. Long J.B., and Plosser C.I. Real business cycles. Journal of Political Economy 91 1 (1983) 39-69
12. Plosser C.I. Understanding real business cycles. Journal of Economic Perspectives 3 (1989) 51-77
13. Mises L.H.E.v. The Theory of Money and Credit (1912), Liberty Classics, Indianapolis
14. Hayek F.A. Prices and Production. 1st ed. (1931), Routledge, London
15. Hayek F.A. Monetary Theory and the Trade Cycle (1966), Augustus M. Kelley, New York 1933
16. Hayek F.A. Prices and Production. 2nd ed. (1967), Augustus M. Kelley, New York 1935
17. Garrison R.W. Time and Money: The Macroeconomics of Capital Structure (2001), Routledge, London
18. Mises L.E.v. Human Action. 5th ed. (1998), Ludwig von Mises Institute, Auburn 1949
19. Allan A. Lockard, Rescuing Austrian business cycle theory: Real and nominal accounting profits, Trinity University, Department of Economics, Hartford, 2006.
20. Chian A.C.-L., Borotto F.A., Rempel E.L., et al. Attractor merging crisis in chaotic business cycles. Chaos, Solitons, & Fractals 24 5 (2005) 869-875
21. Ma J., Sun T., and Liu L. The inherent complexity in nonlinear business cycle model in resonance. Chaos, Solitons and Fractals 37 (2008) 1104-1112
22. Rothbard M.N. America's Great Depression. 5th ed. (2000), Ludwig von Mises Institute, Auburn 1962
23. O'Driscoll G.P., and Shenoy S.R. Inflation, recession, and stagflation. In: Dolan E.G. (Ed). The Foundations of Modern Austrian Economics (1976), Sheed & Ward, Kansas City 185-211
24. Powell Benjamin. Explaining Japan's recession. Quarterly Journal of Austrian Economics 5 2 (2002) 35-50
25. Peng C.-K., Buldyrev S.V., Havlin S., Simons M., Stanley H.E., and Goldberger A.L. Mosaic organization of DNA nucelotides. Physical Review E 49 (1994) 1685-1689
26. Heneghan C., and McDarby G. Establishing the relation between detrended fluctuation analysis and power spectral density analysis for stochastic processes. Physical Review E 62 (2000) 6103-6110
27. Peng C.-K., Havlin S., Stanley H.E., and Goldberger A.L. Quantification of scaling exponents and crossover phenomena in nonstationary heartbeat time series. Chaos 5 (1995) 82-87
28. Kuikka J.T. Fractal analysis of day-to-day variation of heart rate and blood pressure: A case report. International Journal of Nonlinear Sciences and Numerical Simulation 6 2 (2005) 107-112
29. Mussa M. The theory of exchange rate determination. In: Bilson J.F.O., and Marston R.C. (Eds). Exchange Rate Theory and Practice (1984), University of Chicago Press, Chicago 13-78
30. Sun F.Z., Gao M., Lei S.H., et al. The fractal dimension of the fractal model of dropwise condensation and its experimental study. International Journal of Nonlinear Sciences and Numerical Simulation 8 2 (2007) 211-222
31. Mai M., Yu B., Cai J., and Luo L. A fractal analysis of dropwise condensation heat transfer. International Journal of Heat and Mass Transfer 52 21-22 (2009) 4823-4828
32. Peters E.E. Fractal Market Analysis (1994), Wiley, New York
33. Benoit B. Mandelbrot, Adlai Fisher, Laurent Calvet, A multifractal model of asset returns, Cowles Foundation Discussion Paper No. 1164, Yale University, 1997.
34. Keynes J.M. The General Theory of Employment, Interest, and Money (1935), Harcourt, Brace, New York