Showing 1 - 10 of 23
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
This paper presents a new nonlinear time series model that captures a post-recession “bounce-back” in the level of aggregate output. While a number of studies have examined this type of business cycle asymmetry using recession-based dummy variables and threshold models, we relate the...
Persistent link: https://www.econbiz.de/10005352940
This article presents a new Qual VAR model for incorporating information from qualitative and/or discrete variables in vector autoregressions. With a Qual VAR, it is possible to create dynamic forecasts of the qualitative variable using standard VAR projections. Previous forecasting methods for...
Persistent link: https://www.econbiz.de/10005352947
This paper investigates the dynamic relationship between permanent and transitory components of post-war U.S. business cycles. We specify a time-series model for real GNP and consumption in which the two share a common stochastic trend and transitory component, and Markov-regime switching is...
Persistent link: https://www.econbiz.de/10005353003
A large literature studies the information contained in national-level economic indicators, such as financial and aggregate economic activity variables, for forecasting U.S. business cycle phases (expansions and recessions.) In this paper, we investigate whether there is additional information...
Persistent link: https://www.econbiz.de/10010551334
Delivered at the High Profile Speaker Series, New York Society of Security Analysts, New York City. November 8, 2010.
Persistent link: https://www.econbiz.de/10010727307
Presented at the Annual Dealmakers Event, San Diego, California.
Persistent link: https://www.econbiz.de/10010727312
Quantitative Easing (QE) Conference. 30 June 2011, St. Louis, MO
Persistent link: https://www.econbiz.de/10010727327
Presented at the 3rd Rocky Mountain Economic Summit, Jackson Hole, Wyoming
Persistent link: https://www.econbiz.de/10010727339
This paper develops a framework for inferring common Markov-switching components in a panel data set with large cross-section and time-series dimensions. We apply the framework to studying similarities and differences across U.S. states in the timing of business cycles. We hypothesize that there...
Persistent link: https://www.econbiz.de/10004973911