Kim, Chang-Jin; Piger, Jeremy; Startz, Richard - Federal Reserve Bank of St. Louis - 2005
This paper investigates the dynamic relationship between permanent and transitory components of post-war U.S. business … transitory component, and Markov-regime switching is used to model business cycle phases in these components. The timing of … switches between business cycle phases is allowed to differ across the permanent and transitory components. We find strong …