TY - JOUR
T1 - Has the U.S. economy become more stable? A Bayesian approach based on a Markov-switching model of the business cycle
AU - Kim, Chang Jin
AU - Nelson, Charles R.
N1 - Copyright:
Copyright 2017 Elsevier B.V., All rights reserved.
PY - 1999/11
Y1 - 1999/11
N2 - We hope to answer three questions: Has there been a structural break in postwar U.S. real GDP growth towards stabilization? If so, when? What is the nature of this structural break? We employ a Bayesian approach to identify a structural break at an unknown changepoint in a Markov-switching model of the business cycle. Empirical results suggest a break in GDP growth toward stabilization, with the posterior mode of the break date at 1984:1. Furthermore, we find a narrowing gap between growth rates during recessions and booms that is at least as important as any decline in the volatility of shocks.
AB - We hope to answer three questions: Has there been a structural break in postwar U.S. real GDP growth towards stabilization? If so, when? What is the nature of this structural break? We employ a Bayesian approach to identify a structural break at an unknown changepoint in a Markov-switching model of the business cycle. Empirical results suggest a break in GDP growth toward stabilization, with the posterior mode of the break date at 1984:1. Furthermore, we find a narrowing gap between growth rates during recessions and booms that is at least as important as any decline in the volatility of shocks.
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U2 - 10.1162/003465399558472
DO - 10.1162/003465399558472
M3 - Article
AN - SCOPUS:0039447737
SN - 0034-6535
VL - 81
SP - 608
EP - 616
JO - Review of Economics and Statistics
JF - Review of Economics and Statistics
IS - 4
ER -