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Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle
Abstract
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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Citations
Cites
Tests for parameter instability and structural change with unknown change point.
Andrews, D. W. K. (1993) · Econometrica · doi:10.2307/2951764 · Cited by 4,334
Variable Selection via Gibbs Sampling
George, E. I., & McCulloch, R. E. (1993) · Journal of the American Statistical Association · doi:10.1080/01621459.1993.10476353 · Cited by 2,828
Cited by
A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
Marcellino, M., Stock, J. H., & Watson, M. W. (2006) · Journal of Econometrics · doi:10.1016/j.jeconom.2005.07.020 · Cited by 789
Has the Business Cycle Changed and Why?
Stock, J., & Watson, M. (2002) · National Bureau of Economic Research · doi:10.3386/w9127 · Cited by 560
An Empirical Evaluation of the Long-Run Risks Model for Asset Prices
Bansal, R. (2012) · Critical Finance Review · doi:10.1561/104.00000005 · Cited by 420
Bond risk, bond return volatility, and the term structure of interest rates
Viceira, L. M. (2012) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2011.02.018 · Cited by 136
Metadata
- Authors
- Kim, C.-J., & Nelson, C. R.
- Venue
- Review of Economics and Statistics
- Publisher
- MIT Press
- Published
- 1999-11
- Volume
- 81
- Issue
- 4
- Pages
- 608-616
- ISSN
- 0034-6535 (ISSN-L)
- 1530-9142
- OpenAlex
- W2094025373
- Cited by
- 1,172
- References
- 2
- FWCI
- 27.18
- Type
- journal article
- Language
- en
- Open access
- closed
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- Kim, C.-J., & Nelson, C. R. (1999). Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle. Review of Economics and Statistics. https://doi.org/10.1162/003465399558472
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
