This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with 'mild' and 'severe'...

The business cycle has long been the focus of empirical economic research. Until recently statistical analysis of macroeconomic fluctuations was dominated by linear time series methods. Over the past 15 years, however, economists have increasingly applied tractable parametric nonlinear time...