Have output growth rates stabilised? evidence from the g-7 economies
In this paper we consider an extension of Hamilton's Markov chain model of output growth that allows for a one-time structural break in the hyperparameters. We fit this model to post-war quarterly output growth data from the G-7 economies and find evidence for such a structural break in each of them, although the break occurs at different times. The break is always associated with a decline in volatility and often with a narrowing of the mean growth differential between the expansionary and recessionary regimes. The results show that stabilisation has typically been achieved at the expense of a reduction in growth rates. Copyright (c) Scottish Economic Society 2003.
Year of publication: |
2003
|
---|---|
Authors: | Mills, Terence C. ; Wang, Ping |
Published in: |
Scottish Journal of Political Economy. - Scottish Economic Society - SES. - Vol. 50.2003, 3, p. 232-246
|
Publisher: |
Scottish Economic Society - SES |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Plucking models of business cycle fluctuations: Evidence from the G-7 countries
Mills, Terence C., (2002)
-
Modelling regime shift behaviour in Asian real interest rates
Mills, Terence C., (2006)
-
Multivariate Markov Switching Common Factor Models for the UK
Mills, Terence C., (2003)
- More ...