INVENTORIES IN MACROECONOMIC FLUCTUATIONS - THE STYLIZED FACTS

Research being carried out at the Seminar for Mathematical Economics (SEMECON) in Munich, Germany has validated the view that the various categories of investment are the most volatile components of GNP and that their fluctuations have a cyclical character. In this paper the current SEMECON methodology is outlined and used to analyze evidence from 15 countries. The analysis is focussed on the cyclical behaviour of the two broad categories of investment: the inventory investment and the gross fixed capital formation. The following questions were asked for each country for both variables: (i) Can cycles be identified? (ii) Which length do the cycles have? (iii) How important are the cycles? The ideal instrument to analyze the cyclical structure of time series is the spectrum. The Maximum-Entropy-Spectrum is used, the results for 15 countries are presented.