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Jump-and-Rest Effect of U.S. Business Cycles
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Maximo Camacho
Veröffentlicht/Copyright:
7. Dezember 2007
One of the most familiar empirical stylized facts about output dynamics in the United States is the positive autocorrelation of output growth. This paper shows that positive autocorrelation can be better captured by shifts between business cycle states rather than by the standard view of autoregressive coefficients. The result is extremely robust to different nonlinear alternative models and applies not only to output but also to the most relevant macroeconomic variables.
Published Online: 2007-12-7
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Artikel in diesem Heft
- Article
- Movements in the Equity Premium: Evidence from a Time-Varying VAR
- Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules
- Jump-and-Rest Effect of U.S. Business Cycles
- Wavelet Instruments for Efficiency Gains in Generalized Method of Moment Models
- The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change?
