Dynamic threshold modelling and the US business cycle

Recent Changes in the US Business Cycle∗

The US business cycle expansion that started in March 1991 is the longest on record. This paper uses statistical techniques to examine whether this expansion is a onetime unique event or whether its length is a result of a change in the stability of the US economy. Bayesian methods are used to estimate a common factor model that allows for structural breaks in the dynamics of a wide range of ma...

Modelling Multiple Regimes in the Business Cycle

The interest in business cycle asymmetry has been steadily increasing over the last fteen years. Most research has focused on the di erent behaviour of macroeconomic variables during expansions and contractions, which by now is well documented. Recent evidence suggests that such a two-phase characterization of the business cycle might be too restrictive. In particular, it might be worthwhile to...

Business Cycle Features In The Iranian Economy

What Caused the Decline in US Business Cycle Volatility?

This paper investigates the sources of the widely noticed reduction in the volatility of American business cycles since the mid 1980s. Our analysis of reduced volatility emphasises the sharp decline in the standard deviation of changes in real GDP, of the output gap, and of the infl ation rate. The primary results of the paper are based on a small three-equation macro model that includes equati...

Can oil shocks explain asymmetries in the US Business Cycle?

We consider whether oil prices can account for business cycle asymmetries. We test for asymmetries based on the Markov switching autoregressive model popularized by Hamilton (1989), using the tests devised by Clements and Krolzig (2000). We select the transformation of the oil price of Lee, Ni and Ratti (1995), based on a linear analysis of the relationship between output growth and the oil pri...