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| Author: | Kim, C. Nelson, C. |
| Title: | Has the U.S. economy become more stable? A Bayesian approach based on a Markov-switching model of business cycle |
| Journal: | Review of Economics and Statistics
1999 : NOV, VOL. 81:4, p. 608-616 |
| Index terms: | STATISTICS ECONOMICS BUSINESS CYCLES |
| Language: | eng |
| Abstract: | The authors 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? The authors employ a Bayesian approach to identify a structural break at an unknown change point 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. The authors 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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