Industrial production over the business cycle 1919–2022: R/S and wavelet hurst analysis of multifractality and Austrian business cycle theory

The U.S. index of industrial production is examined for multifractal long memory over business cycle expansions and recessions from 1919 to 2022. Hurst exponents are computed with wavelets for most expansion periods and the longest-lasting recessions. Rescaled range (R/S) analysis estimates Hurst exponents over the whole period, for all expansion months, and for all recession months. Standard errors enable formal hypothesis tests to examine whether industrial production and general economic output are predominantly driven by organic changes in supply and demand and the random entrepreneurial innovations responding to them (antipersistent long memory) or by unsustainable Cantillon effects of systematic monetary expansion (persistent long memory). Hurst analysis supports the Austrian model of the business cycle and indicates that the multifractal character of industrial production varies systematically during recessions and expansions.