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Learning and structural change in macroeconomic data

Bullard, James B.; Duffy, John - Federal Reserve Bank of St. Louis - 2004

We include learning in a standard equilibrium business cycle model with explicit growth. We use the model to study how the economy's agents could learn in real time about the important trend-changing events of the postwar era in the U.S., such as the productivity slowdown, increased labor force...

Persistent link: https://www.econbiz.de/10005360544

On learning and the stability of cycles

Bullard, James; Duffy, John - Federal Reserve Bank of St. Louis - 1995

We study a general equilibrium model where the multiplicity of stationary periodic perfect foresight equilibria is pervasive. We investigate the extent of which agents can learn to coordinate on stationary perfect foresight cycles. The example economy, taken from Grandmont (1985), is an...

Persistent link: https://www.econbiz.de/10005360549

Regional business cycle phases in Japan

Wall, Howard J. - Federal Reserve Bank of St. Louis - 2006

This paper uses a Markov-switching model with structural breaks to characterize and compare regional business cycles in Japan for 1976-2005. An early 1990s structural break meant a reduction in national and regional growth rates in expansion and recession, usually resulting in an increase in the...

Persistent link: https://www.econbiz.de/10005360555

Endogenous money supply and the business cycle

Gavin, William T.; Kydland, Finn E. - Federal Reserve Bank of St. Louis - 1997

This paper documents changes in the cyclical behavior of nominal data series that appear after 1979:Q3 when the Federal Reserve implemented a policy to lower the inflation rate. Such changes were not apparent in real variables. A business cycle model with impulses to technology and a role for...

Persistent link: https://www.econbiz.de/10005360556

The cyclical relationship between output and prices: an analysis in the frequency domain

Pakko, Michael R. - Federal Reserve Bank of St. Louis - 1997

Recent research showing negative correlations between detrended output and prices during the postwar period has brought into question the conventional wisdom that prices are procyclical. However, this finding has been shown to be sensitive to the sample period considered. This paper examines the...

Persistent link: https://www.econbiz.de/10005360577

Inventories, liquidity, and the macroeconomy

Wen, Yi - Federal Reserve Bank of St. Louis - 2008

long run, (ii) excess volatility of production relative to sales, (iii) procyclical inventory investment but … volatility of aggregate output could rise by 30% if inventories were eliminated from the economy. Key to this seemingly counter …

Persistent link: https://www.econbiz.de/10005360585

The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations

Kim, Chang-Jin; Nelson, Charles; Piger, Jeremy M. - Federal Reserve Bank of St. Louis - 2003

Using a Bayesian model comparison strategy, we search for a volatility reduction within the post-war sample for the … volatile since the early 1980s, and that this volatility reduction is concentrated in the cyclical component of real GDP. The … growth rates of many of the broad production sectors of real GDP display similar reductions in volatility, suggesting the …

Persistent link: https://www.econbiz.de/10005360586

A steady-state approach to trend/cycle decomposition of regime-switching processes

Morley, James; Piger, Jeremy M. - Federal Reserve Bank of St. Louis - 2005

In this paper, we present a new approach to trend/cycle decomposition under the assumption that the trend is the permanent component and the cycle is the transitory component of an integrated time series. The permanent component is defined as the steady-state level of the series, a definition...

Persistent link: https://www.econbiz.de/10005352749

Common stochastic trends, common cycles, and asymmetry in economic fluctuations

Kim, Chang-Jin; Piger, Jeremy M. - Federal Reserve Bank of St. Louis - 2001

This paper investigates the nature of U.S. business cycle asymmetry using a dynamic factor model of output, investment, and consumption. We identify a common stochastic trend and common transitory component by embedding the permanent income hypothesis within a simple growth model....

Persistent link: https://www.econbiz.de/10005352751

A comparison of the real-time performance of business cycle dating methods

Chauvet, Marcelle; Piger, Jeremy M. - Federal Reserve Bank of St. Louis - 2005

This paper evaluates the ability of formal rules to establish U.S. business cycle turning point dates in real time. We consider two approaches, a nonparametric algorithm and a parametric Markov-switching dynamic-factor model. In order to accurately assess the real-time performance of these...

Persistent link: https://www.econbiz.de/10005352756

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